Determinants of Stock Market Liquidity: Auto Regressive Distributed Lag Based Evidence from the Emerging Equity Market

Purpose: This research examines the impact of oil prices, exchange rate, stock market index, market volatility and inflation on the stock market liquidity. Design/Methodology/Approach: The sample period is 20 years from 2000 to 2019 on monthly basis. We employ the auto-regressive distributed lag...

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Autores principales:	Muhammad Husnain, Aijaz Mustafa Hashmi, Mumtaz Ahmad
Formato:	article
Lenguaje:	EN
Publicado:	CSRC Publishing 2021
Materias:	Stock Market Liquidity ARDL Oil Price Volatility Business HF5001-6182
Acceso en línea:	https://doaj.org/article/a472bd0f8b734073b93bf460cf6e24d8
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spelling	oai:doaj.org-article:a472bd0f8b734073b93bf460cf6e24d82021-11-24T06:31:58ZDeterminants of Stock Market Liquidity: Auto Regressive Distributed Lag Based Evidence from the Emerging Equity Market10.26710/jbsee.v7i3.19142519-089X2519-0326https://doaj.org/article/a472bd0f8b734073b93bf460cf6e24d82021-09-01T00:00:00Zhttp://www.publishing.globalcsrc.org/ojs/index.php/jbsee/article/view/1914https://doaj.org/toc/2519-089Xhttps://doaj.org/toc/2519-0326 Purpose: This research examines the impact of oil prices, exchange rate, stock market index, market volatility and inflation on the stock market liquidity. Design/Methodology/Approach: The sample period is 20 years from 2000 to 2019 on monthly basis. We employ the auto-regressive distributed lag (ARDL) approach for analyzing long run and short run nature of relationship among variables. We also apply diagnostics including, normality check, serial correlation test, heteroscedasticity test and CUSM models for the stability of the models. Findings: We finds that exchange rate and inflation have a long-term negative relationship, but oil prices, stock returns, and stock market volatility have a long-term positive relationship with stock market liquidity. Furthermore, these findings are robust under three different proxies of stock market liquidity for three sectors: text composite, textile weaving, and textile spinning. Implications/Originality/Value: This study extend the existing debate on the relationship between macroeconomic variables and stock market liquidity in developed world to the emerging equity market. It also contributes by examining the impact of macroeconomic variables on the sectorial levels in equity market by using three proxies for stock market liquidity including, Amihud liquidity, average trading and trading volume. Muhammad HusnainAijaz Mustafa HashmiMumtaz AhmadCSRC PublishingarticleStock MarketLiquidityARDLOil PriceVolatilityBusinessHF5001-6182ENJournal of Business and Social Review in Emerging Economies, Vol 7, Iss 3 (2021)
institution	DOAJ
collection	DOAJ
language	EN
topic	Stock Market Liquidity ARDL Oil Price Volatility Business HF5001-6182
spellingShingle	Stock Market Liquidity ARDL Oil Price Volatility Business HF5001-6182 Muhammad Husnain Aijaz Mustafa Hashmi Mumtaz Ahmad Determinants of Stock Market Liquidity: Auto Regressive Distributed Lag Based Evidence from the Emerging Equity Market
description	Purpose: This research examines the impact of oil prices, exchange rate, stock market index, market volatility and inflation on the stock market liquidity. Design/Methodology/Approach: The sample period is 20 years from 2000 to 2019 on monthly basis. We employ the auto-regressive distributed lag (ARDL) approach for analyzing long run and short run nature of relationship among variables. We also apply diagnostics including, normality check, serial correlation test, heteroscedasticity test and CUSM models for the stability of the models. Findings: We finds that exchange rate and inflation have a long-term negative relationship, but oil prices, stock returns, and stock market volatility have a long-term positive relationship with stock market liquidity. Furthermore, these findings are robust under three different proxies of stock market liquidity for three sectors: text composite, textile weaving, and textile spinning. Implications/Originality/Value: This study extend the existing debate on the relationship between macroeconomic variables and stock market liquidity in developed world to the emerging equity market. It also contributes by examining the impact of macroeconomic variables on the sectorial levels in equity market by using three proxies for stock market liquidity including, Amihud liquidity, average trading and trading volume.
format	article
author	Muhammad Husnain Aijaz Mustafa Hashmi Mumtaz Ahmad
author_facet	Muhammad Husnain Aijaz Mustafa Hashmi Mumtaz Ahmad
author_sort	Muhammad Husnain
title	Determinants of Stock Market Liquidity: Auto Regressive Distributed Lag Based Evidence from the Emerging Equity Market
title_short	Determinants of Stock Market Liquidity: Auto Regressive Distributed Lag Based Evidence from the Emerging Equity Market
title_full	Determinants of Stock Market Liquidity: Auto Regressive Distributed Lag Based Evidence from the Emerging Equity Market
title_fullStr	Determinants of Stock Market Liquidity: Auto Regressive Distributed Lag Based Evidence from the Emerging Equity Market
title_full_unstemmed	Determinants of Stock Market Liquidity: Auto Regressive Distributed Lag Based Evidence from the Emerging Equity Market
title_sort	determinants of stock market liquidity: auto regressive distributed lag based evidence from the emerging equity market
publisher	CSRC Publishing
publishDate	2021
url	https://doaj.org/article/a472bd0f8b734073b93bf460cf6e24d8
work_keys_str_mv	AT muhammadhusnain determinantsofstockmarketliquidityautoregressivedistributedlagbasedevidencefromtheemergingequitymarket AT aijazmustafahashmi determinantsofstockmarketliquidityautoregressivedistributedlagbasedevidencefromtheemergingequitymarket AT mumtazahmad determinantsofstockmarketliquidityautoregressivedistributedlagbasedevidencefromtheemergingequitymarket
_version_	1718415931327119360

Determinants of Stock Market Liquidity: Auto Regressive Distributed Lag Based Evidence from the Emerging Equity Market

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