TY  - BOOK
AU  - Kulshrestha,, Kriti 
AU  - Bhaduri, Saumitra N. 
TI  - The Joint Dynamics of Liquidity and Volatility Across Small- and Large- index Indian Funds
KW  - Liquidity
KW  - volatility
KW  - India
KW  - TVAR
N2  - 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
ER  -