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Systematic Liquidity and the Funding Liquidity Hypothesis
Qian, Xiaolin1; Lewis H.K. Tam1; Bohui Zhang2
Source PublicationJournal of Banking & Finance

In order to reconcile weak evidence of supply-side determinants of commonality in liquidity in previous studies, we examine commonality in liquidity in China over the period 1995–2012. Consistent with supply-side explanations, we find that market declines and market volatility increase liquidity commonality. To identify the direct relationship between the supply-side determinants and commonality in liquidity, we provide two specific tests and show that an increase in market participants has a negative effect on liquidity commonality, while the split-share-structure reform in 2005–2007 that results in a large increase in shares supply has a positive impact on liquidity commonality. Finally, we find that commonality in liquidity also has a real impact on the economy.

KeywordCommonality In Liquidity Real Impact Investor Participation Funding Liquidity Hypothesis Split-share-structure Reform
Indexed BySSCI ; SSCI
WOS Research AreaBusiness & Economics
WOS SubjectBusiness, Finance ; Economics
WOS IDWOS:000339455700022
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Cited Times [WOS]:8   [WOS Record]     [Related Records in WOS]
Document TypeJournal article
CollectionFaculty of Business Administration
Affiliation1.Faculty of Business Administration, University of Macau, Macau
2.School of Banking & Finance, The University of New South Wales, Australia
First Author AffilicationFaculty of Business Administration
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GB/T 7714
Qian, Xiaolin,Lewis H.K. Tam,Bohui Zhang. Systematic Liquidity and the Funding Liquidity Hypothesis[J]. Journal of Banking & Finance,2014,45:304-320.
APA Qian, Xiaolin,Lewis H.K. Tam,&Bohui Zhang.(2014).Systematic Liquidity and the Funding Liquidity Hypothesis.Journal of Banking & Finance,45,304-320.
MLA Qian, Xiaolin,et al."Systematic Liquidity and the Funding Liquidity Hypothesis".Journal of Banking & Finance 45(2014):304-320.
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