Business, Management and Accounting
4 years ago

Market volatility increases liquidity commonality, impacting China's economy.

Journal of Banking & Finance
Systematic liquidity and the funding liquidity hypothesis
Xiaolin Qian, Lewis Tam, Bohui Zhang

Paper Summary

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The article explores how market declines and volatility affect liquidity in China from 1995 to 2012. It shows that more market participants decrease liquidity commonality, while a reform in share structure increases it. The study also reveals that liquidity commonality has a real impact on the economy.