Stock and Bond Market Liquidity: A Long-Run Empirical Analysis

By Ruslan Goyenko, Andrey D. Ukhov. Journal of Financial and Quantitative Analysis, 2009

276 citations recorded by the source corpus.

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

Illiquidity Contagion and Liquidity Crashes (2014, unknown): “Evidence of liquidity comovements and the sources of these comovements are provided by Chordia, Roll, and Subrahmanyam (2000), Hasbrouck and Seppi (2001), Huberman and Halka (2001), Coughenour and Saad (2004), Kamara, Lou, and Sadka (2008), Korajczyk and Sadka (2008), Comerton-Forde et al.”
The Term Structure of Bond Market Liquidity and Its Implications for Expected Bond Returns (2010, methodology): “12 Our data have also been used by Goyenko and Ukhov (2009) in their analysis of the economic linkages between the stock and bond markets.”
Understanding FX Liquidity (2015, background): “Second, stock and bond market liquidity tends to be positively associated with FX liquidity, indicating a wide cross-market commonality in liquidities and extending the stock-bond commonalty documented in the literature (Chordia, Sarkar, and Subrahmanyam 2005; Goyenko and Ukhov 2009). Third, among t”
The Liquidity Risk of Liquid Hedge Funds (2011, background): “However, mounting evidence exists that liquidity is correlated across stock and bond markets (Chordia, Sarkar, Subrahmanyam, 2005; and Goyenko and Ukhov, 2009) and across countries (Karolyi, Lee, and van Dijk, 2010).”