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Global Financial Crisis: Dynamics of Liquidity Risk in Emerging Asia

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  • Suraj Kumar
  • Krishna Prasanna

Abstract

This study investigates the dynamic impact of global and regional liquidity along with volatility on the liquidity of emerging Asian equity markets. Further, we empirically disentangle the effects of volatility and liquidity. We find that the external liquidity factors have a higher impact on domestic liquidity as compared to volatility. The impact of global volatility shocks was witnessed only during the Global Financial Crisis. Global factors have a higher influence on developed markets such as Japan and Singapore, while regional factors have a higher influence on emerging markets. These results indicate that liquidity serves as the channel of regional integration in Asia. The findings of this study provide useful insights to cross-sections of stakeholders in the investment industry. JEL Classification: G15, F21, F36

Suggested Citation

  • Suraj Kumar & Krishna Prasanna, 2019. "Global Financial Crisis: Dynamics of Liquidity Risk in Emerging Asia," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 18(3), pages 339-362, December.
    • Handle: RePEc:sae:emffin:v:18:y:2019:i:3:p:339-362
    DOI: 10.1177/0972652719846323
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    More about this item

    Keywords

    Liquidity; volatility; commonality; Asia; global; regional;
    All these keywords.

    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • F21 - International Economics - - International Factor Movements and International Business - - - International Investment; Long-Term Capital Movements
    • F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration

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