Descriptive statistics of illiquidity and volatility.

This table presents the mean, standard deviation (SD) for the illiquidity and volatility of each commodity market as well as the stock market. Illiquidity is measured using the Amihud measure for each

NIAID Data Ecosystem50

Unit root test of illiquidity and volatility.

The table presents the individual unit root test results for the illiquidity and volatility of each market. Illiquidity is measured using the Amihud measure for each financial market. The sample runs

Figshare2021-11-08 更新00

Variance decomposition of market i illiquidity to own and other market illiquidity and volatility.

This table presents the variance decompositions computed from a six-variable VAR for market i and CSI300 market. All variables are adjusted for deterministic time series variations. Illiquidity is mea

Figshare2021-11-08 更新00