Do oil shocks impact stock liquidity?
利用高频日内数据区分石油需求与供给冲击，发现需求冲击降低股票流动性，供给冲击则相反，且大公司受影响更大。
Abstract This paper investigates the impact of oil shocks on the stock liquidity of US listed companies. Using high frequency tick‐by‐tick intraday data and an innovative method to derive oil demand and supply shocks, we find evidence that differentiated oil shocks have distinctive influence on stock liquidity. Specifically, oil shocks driven by demand lower stock liquidity, whereas oil supply shocks have the opposite effect. Generally large corporations are more affected by oil demand and supply shocks. Further analysis reveals that oil, oil‐related, oil‐user and the broad market categories are most affected by oil shocks, but the effects on oil‐substitutes are minimum.