首页    期刊浏览 2022年05月19日 星期四
登录注册

文章基本信息

  • 标题:Liquidity Dynamics of Indian Stock Market in Financial Shocks: Extreme Value Theory
  • 作者:Sumit Kumar Jha ; Mousumi Bhattacharya ; Sharad Nath Bhattacharya
  • 期刊名称:Theoretical Economics Letters
  • 印刷版ISSN:2162-2078
  • 电子版ISSN:2162-2086
  • 出版年度:2018
  • 卷号:08
  • 期号:14
  • 页码:3062-3072
  • DOI:10.4236/tel.2018.814190
  • 语种:English
  • 出版社:Scientific Research Publishing
  • 摘要:The paper tries to capture the liquidity dynamics in the case of extreme events such a soil price shock and the sub-prime crisis by considering trading probability (TP), market efficiency coefficient (MEC) and total volume (TV) as liquidity measures in the Indian context. Using extreme value theory (EVT), the results provide evidence for the presence of significant liquidity risk in the Indian market. The results reveal a low observed value of TP during the sub-prime financial crisis. Based on the analyses of MEC, it can be concluded that despite the presence of liquidity risk, the Indian market is quite resilient even in extreme conditions. It can also be concluded that Indian market is risky for speculators; however for long-term investment liquidity risk is lower for BSE 500 indexed shares. The study has implications in exploring how market participants rebalance their portfolios in response to liquidity uncertainty.
  • 关键词:Stock Market Liquidity;EVT;Trading Probability;Market Efficiency Coefficient
Loading...
联系我们|关于我们|网站声明
国家哲学社会科学文献中心版权所有