Liew, Ping-Xin and Lim, Kian-Ping and Goh, Kim-Leng (2022) The dynamics and determinants of liquidity connectedness across financial asset markets. International Review of Economics & Finance, 77. pp. 341-358. ISSN 1059-0560, DOI https://doi.org/10.1016/j.iref.2021.10.003.
Full text not available from this repository.Abstract
We quantify the degree of liquidity connectedness across stock, bond, money and foreign exchange markets in Malaysia. The liquidity connectedness index from the time-varying parameter vector autoregression model reveals sensitivity to extreme market events but low cross-asset liquidity contagion on average, implying negligible risk of a systemic liquidity dry-up in the Malaysian financial markets. Further analysis finds that cross-asset liquidity connectedness is explained by global market uncertainty, perceived credit risk as well as international crude oil prices. The influence of external factors underscores the needs for small open economy like Malaysia to expand market surveillance to monitor cross-border liquidity shocks.
| Item Type: | Article |
|---|---|
| Funders: | None |
| Uncontrolled Keywords: | Liquidity connectedness; Liquidity spillovers; Time-varying parameter VAR; Financial markets; Malaysia |
| Subjects: | H Social Sciences > H Social Sciences (General) H Social Sciences > HB Economic Theory |
| Divisions: | Faculty of Business and Economics |
| Depositing User: | Ms. Juhaida Abd Rahim |
| Date Deposited: | 19 Jul 2022 04:47 |
| Last Modified: | 19 Jul 2022 04:47 |
| URI: | http://eprints.um.edu.my/id/eprint/33727 |
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