SHIBOR Fluctuations and Stock Market Liquidity: An MF-DCCA Approach
Emerging Markets, Finance & Trade
; 58(7):2050-2065, 2022.
Article
in English
| ProQuest Central | ID: covidwho-1795584
ABSTRACT
This paper examines the nonlinear and dynamic cross-correlations between SHIBOR and Chinese stock market liquidity by employing MF-DCCA method. The cross-correlations display weak persistence and multifractal characteristics, explaining the variations in the relationship between them. The multifractality strength of the cross-correlations decreases after a recent liberalization reform. Moreover, interest rates have a significantly strong influence on stock market liquidity during tight monetary policy and emergencies, indicating the asymmetric and time-varying impact of interest rates on stock market liquidity. In addition, the effectiveness of interest rate transmission decreases in the period of the COVID-19 pandemic.
Full text:
Available
Collection:
Databases of international organizations
Database:
ProQuest Central
Language:
English
Journal:
Emerging Markets, Finance & Trade
Year:
2022
Document Type:
Article
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