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초록
영어
We study the relation between the illiquidity premium and economic states in the Korean stock market. We find that aggregate market liquidity improves following real economic expansions and expansive monetary states and worsens after economic recessions and restrictive monetary states. The improved liquidity in the expansion/expansive state generates a huge illiquidity premium, while an illiquidity premium does not exist in the recession/restrictive state. As a result, the observed illiquidity premium displays strong state-dependent variations. Our empirical results indicate that a significant unconditional illiquidity premium in the Korean stock market arises due to an astonishing illiquidity premium in the expansion/expansive state.
목차
Abstract
1 Introduction
2 Related Literature
3 Data and Variables
3.1 Liquidity measures
3.2 Defining the state of the economy
4 Market Illiquidity and Economic States
5 The Illiquidity Premium and Economic States
5.1 The unconditional illiquidity premium
5.2 The illiquidity premium across economic states
5.3 The risk-adjusted illiquidity premium across economic states
5.4 The illiquidity premium during pre-crisis and post-crisis periods
6 Conclusion
References
Table
Figure
1 Introduction
2 Related Literature
3 Data and Variables
3.1 Liquidity measures
3.2 Defining the state of the economy
4 Market Illiquidity and Economic States
5 The Illiquidity Premium and Economic States
5.1 The unconditional illiquidity premium
5.2 The illiquidity premium across economic states
5.3 The risk-adjusted illiquidity premium across economic states
5.4 The illiquidity premium during pre-crisis and post-crisis periods
6 Conclusion
References
Table
Figure
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참고문헌
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