Common Determinants of Bond and Stock Market Liquidity : The Impact of Financial Crises , Monetary Policy , and Mutual Fund Flows

@inproceedings{Chordia2001CommonDO,
  title={Common Determinants of Bond and Stock Market Liquidity : The Impact of Financial Crises , Monetary Policy , and Mutual Fund Flows},
  author={Tarun Chordia},
  year={2001}
}
  • Tarun Chordia
  • Published 2001
We study common determinants of daily bid-ask spreads and trading volume for the bond and stock markets over the 1991-98 period. We find that spread changes in one market are affected by lagged spread and volume changes in both markets. Further, spread and volume changes are predictable to a considerable degree using lagged market returns, lagged interest rates, lagged spreads, and lagged volume. During periods of financial crisis, stock and bond spreads and volume are more volatile and become… CONTINUE READING

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