Predicting US recessions with stock market illiquidity

Shiu Sheng Chen, Yu Hsi Chou*, Chia Yi Yen

*此作品的通信作者

研究成果: 雜誌貢獻期刊論文同行評審

11 引文 斯高帕斯(Scopus)

摘要

In this paper, we investigate the dynamic link between recessions and stock market liquidity by examining the predictive content of illiquidity for US recessions. After controlling for other commonly featured recession predictors such as term spreads and credit spreads, we find that the illiquidity measure proposed by (Amihud, Y. 2002. "Illiquidity and Stock Returns: Cross-Section and Time-Series Effects." Journal of Financial Markets 5: 375-340) has strong power in predicting recessions. Moreover, the predictability of the illiquidity measure of small firms is found to be stronger than that of large firms, which supports the hypothesis of "flight to liquidity.

原文英語
頁(從 - 到)93-123
頁數31
期刊B.E. Journal of Macroeconomics
16
發行號1
DOIs
出版狀態已發佈 - 2016 1月 1
對外發佈

ASJC Scopus subject areas

  • 經濟學與計量經濟學

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