Please use this identifier to cite or link to this item: https://scholarbank.nus.edu.sg/handle/10635/147916
Title: HOW MACRO-LIQUIDITY IMPACTS MICRO-LIQUIDITY IN THE US EQUITY MARKET
Authors: TRAN THI NGOC VAN
Issue Date: 2011
Citation: TRAN THI NGOC VAN (2011). HOW MACRO-LIQUIDITY IMPACTS MICRO-LIQUIDITY IN THE US EQUITY MARKET. ScholarBank@NUS Repository.
Abstract: The recent financial turmoil has seen severe liquidity dry-ups in the financial markets. This paper explores potential impact of macro-liquidity (i.e. the liquidity provided by investors and the central bank through money flows or monetary policy) on micro-liquidity (i.e. transaction costs) in the U.S. equity market in the last four decades from 1970 to 2009. We find that macro-liquidity has significant impact on micro-liquidity. We also determine that measures of financial institutions? capital constraints, proxies of interest rates, borrowed reserves and change in temporary open market operations are important drivers of stock liquidity. Our empirical evidence supports the conclusion that micro-liquidity is more sensitive to changes in macro-liquidity during recessions. Finally, macro-liquidity has more pronounced impact to less liquid stocks.
URI: http://scholarbank.nus.edu.sg/handle/10635/147916
Appears in Collections:Bachelor's Theses

Show full item record
Files in This Item:
File Description SizeFormatAccess SettingsVersion 
b2979142x.pdf1.15 MBAdobe PDF

RESTRICTED

NoneLog In

Page view(s)

37
checked on Jul 3, 2020

Download(s)

3
checked on Jul 3, 2020

Google ScholarTM

Check


Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.