Local Business Cycles and Local Liquidity

53 Pages Posted: 7 May 2012 Last revised: 5 Dec 2013

See all articles by Gennaro (帅纳) Bernile

Gennaro (帅纳) Bernile

University of Miami - Department of Finance

George M. Korniotis

University of Miami - Department of Finance

Alok Kumar

University of Miami - Miami Herbert Business School

Qin Emma Wang

Oklahoma State University - Tulsa

Date Written: December 4, 2013

Abstract

This study examines whether state-level economic conditions affect the liquidity of local firms. We find that liquidity levels of local stocks are higher (lower) when the local economy has performed well (poorly). This relation is stronger when local financing constraints are more binding, the local information environment is more opaque, and local institutional ownership levels and trading intensity are higher. Overall the evidence supports the notion that the geographical segmentation of U.S. capital markets generates predictable patterns in local liquidity.

Keywords: Geographical market segmentation, local business cycles, local liquidity, local bias, state portfolios, return predictability

JEL Classification: G12, G14

Suggested Citation

Bernile, Gennaro (帅纳) and Korniotis, George M. and Kumar, Alok and Wang, Qin Emma, Local Business Cycles and Local Liquidity (December 4, 2013). Available at SSRN: https://ssrn.com/abstract=2052159 or http://dx.doi.org/10.2139/ssrn.2052159

Gennaro (帅纳) Bernile

University of Miami - Department of Finance ( email )

P.O. Box 248094
Coral Gables, FL 33124-6552
United States

George M. Korniotis

University of Miami - Department of Finance ( email )

P.O. Box 248094
Coral Gables, FL 33124-6552
United States
305-284-5728 (Phone)

Alok Kumar (Contact Author)

University of Miami - Miami Herbert Business School ( email )

517B Jenkins Building
Department of Finance
Coral Gables, FL 33124-6552
United States
305-284-1882 (Phone)

HOME PAGE: http://sites.google.com/view/alokmiami/home

Qin Emma Wang

Oklahoma State University - Tulsa ( email )

Department of Finance
461 Business Building
Stillwater, OK 74078
United States
918-594-8394 (Phone)
918-594-8281 (Fax)

HOME PAGE: http://business.okstate.edu/directory/694480.html

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