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Macroeconomic Stress, Equity Market Liquidity Spirals and Markov Regime Switching
2015
International Journal of Economics and Finance
This paper makes an attempt to identify the periods of high illiquidity spiral and loss spiral fitting into Markov switching regimes model with Constant Transition Probability and Time-Varying Transition Probability models in US equity market. We identified two different states of the illiquidity spiral and loss spiral in the data associated with the said variables under the CPT and TVTP. However the time-varying transition probabilities for illiquidity spiral and loss spiral have changed
doi:10.5539/ijef.v7n6p179
fatcat:vz34i4dhrbamtfprnpvvlpnl5i