Predicting US recessions with stock market illiquidity
Journal
B.E. Journal of Macroeconomics
Journal Volume
16
Journal Issue
1
Pages
93-123
Date Issued
2016
Author(s)
Abstract
Abstract In this paper, we investigate the dynamic link between recessions and stock market liquidity by examining the predictive content of illiquidity for US recessions. After controlling for other commonly featured recession predictors such as term spreads and credit spreads, we find that the illiquidity measure proposed by (Amihud, Y. 2002. “Illiquidity and Stock Returns: Cross-Section and Time-Series Effects.”
Type
journal article