Impact of liquidity spillovers among industrial sectors on stock markets during crisis periods: Evidence from the S&P 500 index

We investigate liquidity spillovers among industry sectors in the S&P 500 index to explain the interconnection dynamics in the US stock market. To do so, we define a sectoral liquidity measure based on the Amihud liquidity measure. Employing the spillover model, we further examine US sectors’ li...

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Detalles Bibliográficos
Autores principales: Lim, Seo-Yeon, Choi, Sun-Yong
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Public Library of Science 2022
Materias:
Research Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9671435/
https://www.ncbi.nlm.nih.gov/pubmed/36395202
http://dx.doi.org/10.1371/journal.pone.0277261

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9671435/
https://www.ncbi.nlm.nih.gov/pubmed/36395202
http://dx.doi.org/10.1371/journal.pone.0277261

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