1PhD Research Scholar, Institute of Infrastructure, Technology, Research and Management (IITRAM), Ahmedabad
2Assistant Professor, Institute of Infrastructure, Technology, Research and Management (IITRAM), Ahmedabad
Online Published on 10 January, 2024.
We investigate the impact of macroeconomic and non-macroeconomic factors on stock liquidity of large, mid and small (LMS) companies in India.
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.
We find very interesting and useful findings. The impact of macroeconomic and non-macroeconomic factors on the stock liquidity is heterogenous across the large, mid and small cap companies in India.
Our results are useful for investors, portfolio managers and policymakers to take an informed investment decision.
Macroeconomic, Non-Macroeconomic, Stock Liquidity, Quantile Regression, Panel Data, India
