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1、THEJOURNALOFFINANCE•VOL.LXVI,NO.1•FEBRUARY2011StockMarketLiquidityandtheBusinessCycleRANDINÆS,JOHANNESA.SKJELTORP,andBERNTARNEØDEGAARD∗ABSTRACTIntherecentfinancialcrisiswesawliquidityinthestockmarketdryingupasaprecursortothecrisisintherealeconomy.Weshowthatsu
2、cheffectsarenotnew;infact,wefindastrongrelationbetweenstockmarketliquidityandthebusinesscycle.Wealsoshowthatinvestorsportfoliocompositionschangewiththebusinesscycleandthatinvestorparticipationisrelatedtomarketliquidity.Thissuggeststhatsystematicliquidityvaria
3、tionisrelatedtoaflighttoqualityduringeconomicdown-turns.Overall,ourresultsprovideanewexplanationfortheobservedcommonalityinliquidity.INDISCUSSIONSOFTHECURRENTfinancialcrisis,muchismadeoftheapparentcausalitybetweenadeclineintheliquidityoffinancialassetsandtheeco
4、nomiccrisis.Inthispaperweshowthatsucheffectsarenotnew;changesintheliquidityoftheU.S.stockmarkethavebeencoincidingwithchangesintherealeconomyatleastsincetheSecondWorldWar.Infact,stockmarketliquidityisaverygoodleadingindicatoroftherealeconomy.UsingdatafortheUn
5、itedStatesovertheperiod1947to2008,wedocumentthatmeasuresofstockmarketliquiditycontainleadinginformationabouttherealeconomy,evenaftercontrollingforotherassetpricepredictors.Figure1providesatime-seriesplotofonemeasureofmarketliquidity,theAmihud(2002)measure,to
6、getherwiththeNationalBureauofEconomicResearch(NBER)recessionperiods(graybars).Thisfigureillustratesthere-lationshipfoundbetweenstockmarketliquidityandthebusinesscycle.Ascanbeseenfromthefigure,liquidityclearlyworsens(illiquidityincreases)wellaheadoftheonsetofth
7、eNBERrecessions.Ourresultsarerelevantforseveralstrandsoftheliterature.Oneimpor-tantstrandistheliteratureonforecastingeconomicgrowthusingdifferentassetprices,includinginterestrates,termspreads,stockreturns,andex-changerates.Theforward-lookingnatureofassetmark
8、etsmakestheuse∗RandiNæsisattheNorwegianMinistryofTradeandIndustry.JohannesA.SkjeltorpisatNorgesBank(theCentralBankofNorway).BerntArneØdegaardisattheUniversityofStavanger,NorgesBank,andNorwegianS
