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Common Determinants of Bond and Stock Market Liquidity: The Impact of Financial Crises, Monetary Policy, and Mutual Fund Flows

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There have been some attempts to explain theoretically the behavior of the stock return volatility. Veronesi (1999) constructs a model with regime shifts in the endowments in which investors will- ingness to hedge against their own uncertainty on the true regime generates overreaction to good news in bad times and volatility clustering. In contrast to that paper, I assume that the exogenous state variables are not subject to regimes, neither do they exhibit mean-reversion. For instance, the current paper obtains volatility clustering in equilibrium even when all the exogenous state variables are geometric Brownian motions....
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Common Determinants of Bond and Stock Market Liquidity: The Impact of Financial Crises, Monetary Policy, and Mutual Fund Flows

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