Network characteristics and stock liquidity:Evidence from the UK

被引：3

作者：

Yang, Xin ^{[1
,2
]}

Jin, Cheng ^{[1
]}

Huang, Chuangxia ^{[1
,2
]}

Yang, Xiaoguang ^{[3
]}

机构：

[1] Changsha Univ Sci & Technol, Sch Math & Stat, Hunan Prov Key Lab Math Modeling & Anal Engn, Changsha, Peoples R China

[2] Changsha Univ Sci & Technol, Sch Econ & Management, Changsha, Peoples R China

[3] Chinese Acad Sci, Acad Math & Syst Sci, Beijing, Peoples R China

来源：

FINANCE RESEARCH LETTERS | 2023年 / 53卷

基金：

中国国家自然科学基金;

关键词：

UK stock market; E -G network; Network characteristics; Stock liquidity;

D O I：

10.1016/j.frl.2022.103625

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This article examines the effect of the Engle-Granger (E-G) price spillover network characteristics on firm's stock liquidity with a longitudinal dataset of FTSE 350 from 2006 to 2021. We find that the subprime crisis, European debt sovereign crisis, British Brexit and COVID-19 caused dramatic network structure change. We also find that firms with higher centrality are likely to suffer from more or greater price shocks leading to lower stock liquidity. Finally, the robust of our results has also been identified, and a general framework for network characteristics and stock liquidity has been established to some extent.

引用

页数：7

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