[PDF][PDF] Macroeconomic effects on stock liquidity
R Lu, J Glascock - University of Cincinnati Working Paper, 2010 - academia.edu
This research studies the effects of macroeconomic factors on liquidity, focusing on the
pricing of liquidity. By applying cross-sectional tests, we obtain the monthly price of liquidity.
Overall, the results show that the growth rate in industrial production has significant
contemporaneous effects on the price of liquidity. Interestingly, macroeconomic factors,
especially the rate of growth in industrial production, have significant predictive power on
liquidity pricing when the market is in recession. This study provides evidence that the …
pricing of liquidity. By applying cross-sectional tests, we obtain the monthly price of liquidity.
Overall, the results show that the growth rate in industrial production has significant
contemporaneous effects on the price of liquidity. Interestingly, macroeconomic factors,
especially the rate of growth in industrial production, have significant predictive power on
liquidity pricing when the market is in recession. This study provides evidence that the …
Macroeconomic effects on stock liquidity
R Lu-Andrews, JL Glascock - Available at SSRN 1662751, 2010 - papers.ssrn.com
This research studies the effects of macroeconomic factors on liquidity, focusing on the
pricing of liquidity. By applying cross-sectional tests, we obtain the monthly price of liquidity.
Overall, the results show that the growth rate in industrial production has significant
contemporaneous effects on the price of liquidity. Interestingly, macroeconomic factors,
especially the rate of growth in industrial production, have significant predictive power on
liquidity pricing when the market is in recession. This study provides evidence that the …
pricing of liquidity. By applying cross-sectional tests, we obtain the monthly price of liquidity.
Overall, the results show that the growth rate in industrial production has significant
contemporaneous effects on the price of liquidity. Interestingly, macroeconomic factors,
especially the rate of growth in industrial production, have significant predictive power on
liquidity pricing when the market is in recession. This study provides evidence that the …
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