An Empirical Analysis of Stock and Bond Market Liquidity: Forthcoming in the Review of Financial Studies

@inproceedings{Chordia2001AnEA,
  title={An Empirical Analysis of Stock and Bond Market Liquidity: Forthcoming in the Review of Financial Studies},
  author={Tarun Chordia and Asani Sarkar and Avanidhar Subrahmanyam},
  year={2001}
}
We study the joint time-series of daily liquidity in government bond and stock markets over the period 1991 to 1998. Innovations in liquidity are positively and significantly correlated across stock and bond markets. Further, order imbalances in the stock market impact bond and stock liquidity, even after controlling for order imbalances in the bond market. Both results suggest the existence of a common liquidity factor in stock and bond markets. We consider monetary conditions and mutual fund… CONTINUE READING

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