A Study on the Effect of Macro Economy on the Liquidity Comovement between Stock and Bond Markets
Liquidity comovement between financial assets is a fundamental issue of financial management. Its important to asset pricing, asset allocation and risk management. This paper analyzes the effect of macro economy on the liquidity comovement between stock and bond markets from both theoretical and empirical perspectives. Results from empirical analysis indicate that the variation of the correlation between the liquidity of stock and bond markets mainly depend on the variation of industry added value,money supply, inflation, domestic credit beside of itself variation.
Macro economy Liquidity Comovement Vector autoregression
Zeng Zhijian Xie Chi
College of Business Administration, Hunan University, P.R.China, 410082
国际会议
第六届管理学国际会议(Proceedings of ICM2007 the 6th International on Management)
武汉
英文
729-734
2007-08-03（万方平台首次上网日期，不代表论文的发表时间）