Author(s)

Dimitrios I. Vortelinos^1*, Konstantinos Gkillas², Christoforos Konstantatos², George Peppas³

¹Lincoln International Business School, University of Lincoln, Lincoln, England.
²Department of Business Administration, University of Patras, Patras, Greece.
³Accounting Lab, Hellenic Open University, Patras, Greece.

We examine the impact of US economic news releases in the liquidity of eleven not so extensively researched emerging stock markets. We employ ten liquidity measures. The sample begins from June 2007 up to December 2016. Analysis is performed in a weekly frequency. China is the least liquid Asian market. Peru is the most liquid Latin American market. Most of the emerging markets are positively affected by the US news, offering diversification benefits to international investors. India and Argentina (China and Chile) are the Asian and Latin American countries with the highest (lowest) impacts, respectively. There is not a single best-in-class liquidity measure. The country with the lowest liquidity has the lowest impact from the US news releases. This result holds for both groups of countries in Asia and Latin America.

Bootstrap, Emerging Markets, Liquidity, US Economic News

Vortelinos, D. , Gkillas, K. , Konstantatos, C. and Peppas, G. (2018) The Efficiency in Liquidity Measures during the US Monetary Announcements. Theoretical Economics Letters, 8, 98-110. doi: 10.4236/tel.2018.81006.