The influence of oil price uncertainty on stock liquidity
利用高频日内数据，发现油价不确定性上升会显著降低股票流动性，大型石油相关企业受影响最大，做市商会扩大买卖价差来自我保护。
Abstract Using high‐frequency intraday data, this study provides strong empirical evidence that elevated oil price uncertainty has a significant and negative influence on stock liquidity. More specifically, the results suggest that large oil‐related corporations are most affected, followed by small‐listed firms more generally. Further analysis reveals that liquidity providers widen the bid‐ask spreads to protect themselves during periods of high oil price uncertainty for large‐listed firms, particularly those in the oil industry. These findings are robust to various measures of oil price uncertainty, different market conditions, structural break analysis and show the influence of oil price movements extends to stock liquidity.