The influence of oil price uncertainty on stock liquidity

Qin Zhang*, Jin Boon Wong

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

10 Citations (Scopus)
100 Downloads (Pure)

Abstract

Using high-frequency intraday data, this study provides strong empirical evidence that elevated oil price uncertainty has a significant and negative influence on stock liquidity. More specifically, the results suggest that large oil-related corporations are most affected, followed by small-listed firms more generally. Further analysis reveals that liquidity providers widen the bid-ask spreads to protect themselves during periods of high oil price uncertainty for large-listed firms, particularly those in the oil industry. These findings are robust to various measures of oil price uncertainty, different market conditions, structural break analysis and show the influence of oil price movements extends to stock liquidity.
Original languageEnglish
Pages (from-to)141-167
Number of pages27
JournalThe Journal of Futures Markets
Volume43
Issue number2
Early online dateOct 2022
DOIs
Publication statusPublished - Feb 2023

Keywords

  • bid-ask spreads
  • information asymmetry
  • market behavior
  • oil uncertainty
  • stock liquidity

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