Market liquidity and volatility: Does economic policy uncertainty matter? Evidence from Asian emerging economies.

This research investigates the complex interaction between liquidity and volatility while considering Economic Policy Uncertainty (EPU) as a moderating factor. Using a comprehensive dataset that incorporates various liquidity measures such as market resilience, depth, and breadth, the study examines how changes in liquidity impact volatility in four Asian incipient economies: China, Pakistan, India, and South Korea. By utilizing sophisticated econometric techniques, particularly the System Generalized Method of Moment (GMM), the findings demonstrate a statistically significant inverse relationship between liquidity and volatility.