The Joint Dynamics of Liquidity and Volatility Across Small- and Large- index Indian Funds
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GANGOPADHYAY, SHUBHASIS JOURNAL OF EMERGING MARKET FINANCESummary: The article explores the relationship between volatility and liquidity, as there is a change in market capitalisation (cap). Using three regimes of volatility, identified by the threshold vector auto-regression method, the results show that volatility affects liquidity differently for the three volatility regimes during the two periods (crisis and post-crisis) of study. The results show that there is inconsistency in how volatility affects liquidity across the Indian large-, mid- and small-cap indices.
| Item type | Current library | Call number | Vol info | Status | Notes | Date due | Barcode | Item holds | |
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Main Library | ol 18, No 2S/ 55511089JA! (Browse shelf(Opens below)) | Available | 55511089JA! | |||||
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Main Library On Display | JOURNAL/FIN/Vol 18, No 2S/55511089 (Browse shelf(Opens below)) | Vol 18, No 2S (01/11/2019) | Not for loan | August, 2019 | 55511089 |
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The article explores the relationship between volatility and liquidity, as there is a change in market capitalisation (cap). Using three regimes of volatility, identified by the threshold vector auto-regression method, the results show that volatility affects liquidity differently for the three volatility regimes during the two periods (crisis and post-crisis) of study. The results show that there is inconsistency in how volatility affects liquidity across the Indian large-, mid- and small-cap indices.
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