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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...
| Autores principales: | , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
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Public Library of Science
2022
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| 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 |