Florakis, Chris; Giorgioni, Gianluigi; Kostakis, Alexandros - Rimini Centre for Economic Analysis (RCEA) - 2012
We empirically test the hypothesis that stock market illiquidity affects real UK GDP growth using data over the period 1989q1-2012q2. We conduct our empirical exercise within a standard linear model as well as a non-linear model, which allows for regime switching behavior in terms of a liquid...