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- W4316136363 abstract "Traditional market pricing models assume frictionless markets with abundant liquidity. This traditional models also incorporate stock market liquidity as an exogenous cost. However, this paradigm has many shortcomings due to its inability to explain some of the problems associated with security market illiquidity. The aim of this study was to explore the concept of stock market liquidity during periods of financial distress. A Markov switching GARCH model was used to investigate market liquidity in the CAC 40, DAX, JSE, Nasdaq Index and the Nikkei-225 during the 2007-2008 financial crisis and the Covid-19 pandemic. The sample period was January 1, 2020 to December 31, 2021 and December 1, 2007 to June 30, 2009. From the findings, some financial markets where still liquid despite the financial crisis with the exception of the Nasdaq index. Conversely, all the financial markets under consideration displayed strong illiquidity during the covid-19 pandemic. In essence, the level of market depth has significantly decreased from the financial crisis to the covid-19 pandemic which may be attributed to increasing margin requirements and information asymmetry as well as price restrictions. There is an urgent need for regulatory authorities to review some of the trading regulations during financial distress." @default.
- W4316136363 created "2023-01-14" @default.
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- W4316136363 date "2023-01-14" @default.
- W4316136363 modified "2023-10-01" @default.
- W4316136363 title "Stock Market Liquidity during Periods of Distress and its Implications: Evidence from International Financial Markets" @default.
- W4316136363 doi "https://doi.org/10.32479/ijefi.13752" @default.
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