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The Joint Dynamics of Liquidity and Volatility Across Small- and Large- index Indian Funds

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  • Kriti Kulshrestha
  • Saumitra N. Bhaduri

Abstract

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. JEL Classification: G1 G17

Suggested Citation

  • Kriti Kulshrestha & Saumitra N. Bhaduri, 2019. "The Joint Dynamics of Liquidity and Volatility Across Small- and Large- index Indian Funds," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 18(2_suppl), pages 167-182, August.
    • Handle: RePEc:sae:emffin:v:18:y:2019:i:2_suppl:p:s167-s182
    DOI: 10.1177/0972652719846318
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    References listed on IDEAS

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    More about this item

    Keywords

    Liquidity; volatility; India; TVAR;
    All these keywords.

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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