文章基本信息

标题：Systematic liquidity: commonality and inter-temporal variation in the Portuguese stock market
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作者：José Luis Miralles Marcelo ; María Del Mar Miralles-Quirós ; Célia Oliveira 等
期刊名称：Cuadernos de Gestión
印刷版ISSN：1131-6837
电子版ISSN：1988-2157
出版年度：2015
卷号：15
期号：2
页码：39-64
语种：English
出版社：Universidad del País Vasco/Euskal Herriko Unibertsitatea
其他摘要：The aim of this paper is to study systematic liquidity at the Euronext Lisbon Stock Exchange. The motivation for this research is provided by the growing interest in financial literature about stock liquidity and the impli - cations of commonality in liquidity for asset pricing since it could represent a source of non-diversifiable risk. Namely, it is analysed whether there exist common factors that drive the variation in individual stock liquidity and the causes of the inter-temporal variation of aggregate liquidity. Monthly data for the period between Jan - uary 1988 and December 2011 is used to compute some of the most used proxies for liquidity: bid-ask spreads, turnover rate, trading volume, proportion of zero returns and the illiquidity ratio. Following Chordia et al. (2000) methodology, some evidence of commonality in liquidity is found in the Portuguese stock market when the pro - portion of zero returns is used as a measure of liquidity. In relation to the factors that drive the inter-temporal variation of the Portuguese stock market liquidity, the results obtained within a VAR framework suggest that changes in real economy activity, monetary policy (proxied by changes in monetary aggregate M1) and stock market returns play an important role as determinants of commonality in liquidity.
其他关键词：Stock market; liquidity; commonality; macroeconomic factors; Portugal; vector autoregression.