2012•Shanghai Caijing Daxue xuebaoRequires access
On the Effect of Monetary Liquidity on Stock Market Liquidity
Gong Yang-shu
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Abstract
This paper analyzes the mechanism concerning the effect of monetary liquidity on stock market liquidity,and then empirically studies the influence of monetary liquidity on stock market liquidity from the perspective of shock effects at a moment and dynamic correlation in a period.It shows that the positive shocks of monetary liquidity have limited effects on the increase in stock market liquidity.There is weak negative dynamic correlation between monetary liquidity and stock market illiquidity,but owing to liquidity spirals,the correlation significantly increases in April 2009.At the stage of big macroeconomic fluctuations,monetary liquidity has greater effects on stock market liquidity.