Stock Market Liquidity and the Business Cycle

  • Randi Næs, Johannes A. Skjeltorp, Bernt Arne Ødegaard, Kristian Miltersen, Luis Viceira
  • Published 2010


In the recent financial crisis we saw the liquidity in the stock market drying up as a precursor to the crisis in the real economy. We show that such effects are not new, in fact we find a strong relation between stock market liquidity and the business cycle. We also show that the portfolio compositions of investors change with the business cycle and that… (More)


23 Figures and Tables