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1、April22,2002AnEmpiricalAnalysisofStockandBondMarketLiquidityTarunChordia,¤AsaniSarkar,¤¤andAvanidharSubrahmanyam¤¤¤¤GoizuetaBusinessSchool,EmoryUniversity.¤¤FederalReserveBankofNewYork.¤¤¤AndersonGraduateSchoolofManagement,UniversityofCaliforniaatLosAngeles.WethankMichaelBr
2、ennan,ArturoEstrella,MichaelFleming,CliftonGreen,EricHugh-son,StavrosPeristiani,RaghuRajan,Ren¶eStulz,andRossValkanovforhelpfulcom-mentsand/orforencouragingustoexploretheseissues.WealsothankMichaelEmmetforexcellentresearchassistance.Theviewsherearethoseoftheauthorsanddonotn
3、ecessarilyre°ecttheviewsoftheFederalReserveBankofNewYorkortheFederalReserveSystem.Anyerrorsaretheauthors'alone.AbstractAnEmpiricalAnalysisofStockandBondMarketLiquidityWestudythejointtime-seriesofdailyliquidityinbondandstockmarketsovertheperiod,1991to1998.We¯ndthatspreadsand
4、depthsinthestockandbondmarketsarepredictableusinglaggedspreadsandlaggedorderimbalances.Unexpectedliquidityshocksarepositivelyandsigni¯cantlycorrelatedacrossstockandbondmarkets,sug-gestingthatliquidityshortagesandreplenishmentsareoftensystemicinnature.Duringperiodsof¯nancial
5、crises,thecorrelationinstockandbondspreadinnovationsincreases.Monetarypolicyappearstohaveanameliorativee®ectonstockmarketliquiditydur-ingcrises.U.S.governmentbondfundsseehigherin°owsandequityfundsseehigherout°owsduring¯nancialcrises,suggestinga°ighttoqualityduringperiodsofs
6、tress.JELCODES:G10,G14,G23,E521IntroductionAnumberofimportanttheoremsin¯nancerelyontheabilityofinvestorstotradeanyamountofasecuritywithouta®ectingtheprice.However,thereexistseveralfrictions,1suchastradingcosts,shortsalerestrictions,circuitbreakers,etc.thatimpactpriceformati
7、on.Thein°uenceofmarketimperfectionsonsecuritypricinghaslongbeenrec-ognized.Liquidity,inparticular,hasattractedalotofattentionfromtraders,regulators,exchangeo±cialsaswellasacademics.Liquidity,afundamentalconceptin¯nance,canbede¯nedastheabilitytobuyorselllargequantitiesofanas
8、setquicklyandatlowcost.Thevastmajorityofequilibriumassetpricingmodelsdonotconsider
