Liquidity shocks and the negative premium of liquidity volatility around the world

doi:10.1016/j.jimonfin.2023.102966

UM > Faculty of Business Administration

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Status	已發表Published
	Liquidity shocks and the negative premium of liquidity volatility around the world
	Feng, Yulin 1; Kang, Wenjin2 ; Zhang, Huiping 3
	2023-12-01
Source Publication	Journal of International Money and Finance
ABS Journal Level	3
ISSN	0261-5606
Volume	139 Pages:102966
Abstract	We find that liquidity volatility negatively affects stock returns across international markets. This association remains consistent across various liquidity metrics and cannot be attributed to the influence of idiosyncratic volatility. Further analysis shows that the omitted liquidity decrease variable is the key driver of the negative premium of liquidity volatility. Considering the asymmetrical impact of liquidity decrease and increase on future stock returns, stocks displaying high liquidity volatility tend to experience significant liquidity decreases, which lead to lower average returns. Once the liquidity decrease is integrated into the pricing model, the negative return premium of liquidity volatility dissipates. Subsequent analysis underscores that the effect of liquidity decrease on returns is more pronounced in markets and periods characterized by diminished efficiency and heightened arbitrage costs.
DOI	10.1016/j.jimonfin.2023.102966
URL	View the original
Indexed By	SSCI
Language	英語English
WOS Research Area	Business & Economics
WOS Subject	Business, Finance
WOS ID	WOS:001150160000001
Publisher	ELSEVIER SCI LTD, THE BOULEVARD, LANGFORD LANE, KIDLINGTON, OXFORD OX5 1GB, OXON, ENGLAND
Scopus ID	2-s2.0-85173273571
Fulltext Access	View Full-Text via DOI View Full-Text via Scopus
Citation statistics
Document Type	Journal article
Collection	Faculty of Business Administration DEPARTMENT OF FINANCE AND BUSINESS ECONOMICS
Corresponding Author	Kang, Wenjin
Affiliation	1.School of Finance, Shanghai University of Finance and Economics, Shanghai, China 2.Faculty of Business Administration, University of Macau, E22 Avenida da Universidade, Taipa, Macao 3.Business School, James Cook University, Singapore, Singapore
Corresponding Author Affilication	Faculty of Business Administration
Recommended Citation GB/T 7714	Feng, Yulin,Kang, Wenjin,Zhang, Huiping. Liquidity shocks and the negative premium of liquidity volatility around the world[J]. Journal of International Money and Finance, 2023, 139, 102966.
APA	Feng, Yulin., Kang, Wenjin., & Zhang, Huiping (2023). Liquidity shocks and the negative premium of liquidity volatility around the world. Journal of International Money and Finance, 139, 102966.
MLA	Feng, Yulin,et al."Liquidity shocks and the negative premium of liquidity volatility around the world".Journal of International Money and Finance 139(2023):102966.

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