مقاله انگلیسی رایگان در مورد عدم اطمینان سیاست اقتصادی و نقدینگی بازار بورس – امرالد 2018

Purpose- This study examines the relationship between economic policy uncertainty and stock market liquidity in an order-driven emerging stock market. Design/methodology/approach- Empirical estimates are based on vector autoregressive Granger-causality tests, impulse response functions and variance decomposition analysis. Findings- The empirical findings suggest that economic policy uncertainty moderately influence stock market liquidity during normal market conditions. However, the role of economic policy uncertainty for determining stock market liquidity is significant in times of financial crises. We have also observed a significant portion of variation in stock market liquidity is attributed to investor sentiments during financial crises. Originality/value- This study is original in nature and provides evidence to consider economic policy uncertainty as a possible source of commonality in liquidity in the context of an emerging market.

Introduction

Stock market liquidity is one of the most debatable topics in the recent literature on economics and finance. It has attracted enormous attention of academic researchers and practitioners for two fundamental reasons. First, liquidity is instrumental for hedging and risk management, asset pricing, determination of cost of capital and efficient capital allocation (Acharya and Schaefer, 2006; Amihud and Mendelson, 1986; Borio, 2004; Brunnermeier and Pedersen, 2009; Chordia et al., 2000, 2008; Das and Hanouna, 2009; Wang, 2013). Second, the potential impairment caused by lack of liquidity during financial crisis and uncertain market condition. Therefore, it is essential to study the dynamics of stock market liquidity and its determinants. Related literature has documented that market microstructure variables, macroeconomic variables, firm-specific characteristics, behavioral factors and investor sentiment are significant determinants of stock market liquidity. (Chordia et al., 2000; Goyenko and Ukhov, 2009; Liu, 2015; Kamara et al., 2008; Moshirian et al., 2017; Massa, 2004; Naes et al., 2011; Soderberg, 2008; Taddei, 2007). Besides, in the wake of global economic meltdown, another strand of literature has largely discussed on the effect of economic policy uncertainty (EPU) on various economic units such as growth, investment, output, productivity, consumption and stock market performance (Bachman et al., 2012; Bhagat and Obreja, 2013; Bhagat et al., 2016; Brogaard and Detzel, 2015; Friedman, 1968; Gilchrist et al., 2014; Gulen and Ion, 2012; Rodrik, 1991). Available research work on EPU and stock market performance indicators has mostly concentrated on either the impact of EPU on stock market volatility or stock market return (Antonakakis et al., 2013; Bhagat et al., 2016; Dzielinski, 2012; Kang and Ratti, 2013; Ozoguz, 2009; Pástor and Veronesi, 2012, 2013).