SHIBOR Fluctuations and Stock Market Liquidity: An MF-DCCA Approach

Autor:	Yihong Sun, Xinsheng Lu, Xuemei Yuan
Rok vydání:	2021
Předmět:	Liberalization Coronavirus disease 2019 (COVID-19) media_common.quotation_subject Monetary policy Multifractal system Monetary economics Market liquidity Interest rate Shanghai Interbank Offered Rate Economics Stock market General Economics Econometrics and Finance Finance media_common
Zdroj:	Emerging Markets Finance and Trade. 58:2050-2065
ISSN:	1558-0938 1540-496X
DOI:	10.1080/1540496x.2021.1954503
Popis:	This paper examines the nonlinear and dynamic cross-correlations between SHIBOR and Chinese stock market liquidity by employing MF-DCCA method. The cross-correlations display weak persistence and multifractal characteristics, explaining the variations in the relationship between them. The multifractality strength of the cross-correlations decreases after a recent liberalization reform. Moreover, interest rates have a significantly strong influence on stock market liquidity during tight monetary policy and emergencies, indicating the asymmetric and time-varying impact of interest rates on stock market liquidity. In addition, the effectiveness of interest rate transmission decreases in the period of the COVID-19 pandemic.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::d98501d092220b402824675fad9caafd https://doi.org/10.1080/1540496x.2021.1954503 Zobrazit plný text záznamu