10 Jan
2024
Do large cap, mid cap and small cap firms stock liquidity react to macroeconomic and nonmacroeconomic factors alike? A New Indian experience
Authors :- Faniband, M., & Jadhav, P.
Publication :- JIMS 8M The Journal of Indian Management And Strategy, Vol.28 (4), 2023.
We use the panel quantile regression approach to investigate the objective. The monthly data from June 2010 to March 2022 are considered for the analysis. We consider exchange rate, interest rate and inflation as macroeconomic variables. In addition to macroeconomic variables, we include non-macroeconomic variables as proxied by economic policy uncertainty (EPU), geopolitical risk (GPR), volatility index (VIX), Nifty, foreign institutional investors (FII) and domestic institutional investors (DII). The stocks under NSE Large Cap100, NSE Mid Cap 100 and NSE Small Cap 100 Indices are included as dependent variables.