Goyenko, Ruslan Y.; Ukhov, Andrey D. - In: Journal of Financial and Quantitative Analysis 44 (2009) 01, pp. 189-212
This paper establishes liquidity linkage between stock and Treasury bond markets. There is a lead-lag relationship between illiquidity of the two markets and bidirectional Granger causality. The effect of stock illiquidity on bond illiquidity is consistent with flight-to-quality or...