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Stock and Bond Market Liquidity: A Long-Run Empirical Analysis
Social Science Research Network
2009). Stock and bond market liquidity: A long-run empirical analysis [Electronic version]. Abstract This paper establishes liquidity linkage between stock and Treasury bond markets. There is a lead-lag relationship between illiquidity of the two markets and bidirectional Granger causality. The effect of stock illiquidity on bond illiquidity is consistent with flight-to-quality or flight-to-liquidity episodes. Monetary policy impacts illiquidity. The evidence indicates that bond illiquiditydoi:10.2139/ssrn.669942 fatcat:uaff3yvtnvbbhezbiwkzw3xjdy