International Journal of

ADVANCED AND APPLIED SCIENCES

EISSN: 2313-3724, Print ISSN: 2313-626X

Frequency: 12
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 Volume 8, Issue 6 (June 2021), Pages: 26-39

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 Original Research Paper

 Title: Liquidity commonality-economic cycle nexus in emerging Asian economies: An ARDL approach

 Author(s): Syeda Hina Zaidi *

 Affiliation(s):

 Department of Management Sciences, Capital University of Science and Technology, Islamabad, Pakistan

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 * Corresponding Author. 

  Corresponding author's ORCID profile: https://orcid.org/0000-0003-2271-5229

 Digital Object Identifier: 

 https://doi.org/10.21833/ijaas.2021.06.004

 Abstract:

This study investigates the impact of liquidity commonality on the economic cycle for 7 emerging Asian economies over a period of 1997-2018, using Autoregressive Regressive Distributed Lag (ARDL) approach to Cointegration. Gross domestic investment, total consumption expenditure, net trade, and unemployment rate are studied as macro variables in the analysis. The nexus has been discussed both in the short-run and long-run. A significant relationship between economic growth and stock market liquidity commonality is found for large economies including China, India, Indonesia, and Malaysia; however, we found mixed evidence regarding the direction of the relationship for different economies. The aggregate analysis revealed that liquidity commonality has a positive impact on economic growth in the short-run and a negative association in the long-run. As a non-diversifiable risk factor, liquidity co-movement shocks spread the market wide and disrupt the overall functioning of financial markets and eventually affect the economy. For regulators and policymakers and particularly for those in emerging economies, understanding the factors affecting economic cycles and recognizing their dynamics and magnitude is important for policy coordination and market development. Further, the firms in Asian markets operate in legal and regulatory environments distinct from those of firms analyzed in the previous literature. A major knowledge gap pertaining to Asian emerging markets serves as the primary motivation for this study. 

 © 2021 The Authors. Published by IASE.

 This is an open access article under the CC BY-NC-ND license (http://creativecommons.org/licenses/by-nc-nd/4.0/).

 Keywords: Liquidity commonality, Economic cycle, Emerging Asian economies

 Article History: Received 12 November 2020, Received in revised form 13 February 2021, Accepted 21 February 2021

 Acknowledgment 

No Acknowledgment.

 Compliance with ethical standards

 Conflict of interest: The author(s) declared no potential conflicts of interest with respect to the research, authorship, and/or publication of this article.

 Citation:

  Zaidi SH (2021). Liquidity commonality-economic cycle nexus in emerging Asian economies: An ARDL approach. International Journal of Advanced and Applied Sciences, 8(6): 26-39

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 Figures

 Fig. 1 Fig. 2 Fig. 3 Fig. 4 Fig. 5 Fig. 6 Fig. 7 

 Tables

 Table 1 Table 2 Table 3 Table 4 Table 5 Table 6 Table 7 

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