Publication Type
Book Chapter
Version
submittedVersion
Publication Date
8-2013
Abstract
This article presents a discussion of stock market liquidity and its relation to financial crises. It begins by defining liquidity and explaining possible measures of liquidity and then explores factors influencing liquidity. It also analyzes the liquidity among 11 Asian countries. The empirical findings based on the time-series analysis show a sharp decline in stock liquidity during both the 1997-1998 Asian and the recent 2007-2008 global financial crisis. The multivariate regression results show that both stock liquidity and trading activity decrease after large market declines. Stock liquidity responds significantly to large market declines in South Korea and Taiwan whereas it is least sensitive in Singapore. The findings indicate that stock trading, measured by turnover, slows down after a large market decline, which affects trading activity in all markets examined especially those of South Korea and China, but have the least effect in Singapore and Japan.
Keywords
Asian markets, emerging markets, financial crisis, liquidity, trading activity
Discipline
Asian Studies | Finance and Financial Management
Research Areas
Finance
Publication
Market Microstructure in Emerging and Developed Markets
Editor
H. Kent Baker & Halil Kiymaz
First Page
407
Last Page
424
ISBN
9781118278444
Identifier
10.1002/9781118681145.ch22
Publisher
Wiley
City or Country
Hoboken, NJ
Citation
CHAROENWONG, Charlie; DING, David K.; and YANG, Yung Chiang.
Liquidity and crises in Asian equity markets. (2013). Market Microstructure in Emerging and Developed Markets. 407-424.
Available at: https://ink.library.smu.edu.sg/lkcsb_research/3605
Copyright Owner and License
Authors
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
Additional URL
https://doi.org/10.1002/9781118681145.ch22