Department of Economics and Finance
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Item Monetary policy and liquidity: Does investor sentiment matter?(Elsevier, 2021-09) Debata, ByomakeshWe examine the relationship between monetary policy and liquidity effects at the macro (overall market) and micro (individual stocks) levels, using data from the Indian stock market. We also test the possible asymmetric effect of investor sentiment on the monetary policy – liquidity relationship. Results suggest strong predictability of monetary policy on liquidity at an aggregate market level and individual stock level. The effect of monetary policy on liquidity is stronger during low sentiment (pessimistic) periods as compared to high sentiment (optimistic) periods.Item Economic policy uncertainty and stock market liquidity: Does financial crisis make any difference?(Emerald, 2018-04) Debata, ByomakeshThis study aims to examine the relationship between economic policy uncertainty and stock market liquidity in an order-driven emerging stock marketItem Investor sentiment and emerging stock market liquidity(Elsevier, 2018) Debata, ByomakeshThis study examines the impact of local and foreign investor sentiment on emerging stock market liquidity. We find a positive (negative) effect of investor sentiment on liquidity (illiquidity). Results also reveal that foreign investor sentiment significantly influences emerging stock market liquidity.Item Monetary policy and liquidity: Does investor sentiment matter?(Elsevier, 2021-09) Debata, ByomakeshWe examine the relationship between monetary policy and liquidity effects at the macro (overall market) and micro (individual stocks) levels, using data from the Indian stock market. We also test the possible asymmetric effect of investor sentiment on the monetary policy – liquidity relationship. Results suggest strong predictability of monetary policy on liquidity at an aggregate market level and individual stock level. The effect of monetary policy on liquidity is stronger during low sentiment (pessimistic) periods as compared to high sentiment (optimistic) periods.