This article investigates the determinants of liquidity and the transmission of liquidity shocks across 52 stock markets during the period 2005-2009. Constructing Amihud (2002) liquidity measure, we finda positive linkage between liquidity and volatility. Moreover, the Granger causality analysis provide evidence of bi-directional relationship between stock market return and its illiquidity shock, through a. Also, the results support the presence of USA illiquidity shock spillover to others markets during the financial crisis of 2007-08. Moreover, both USA return and illiquidity shock have a strong effect on the illiquidity shock of the others markets. Finally, the impact of the USA market through its return or illiquidity shock is the same during normal and crisis period.
ISSN: 1792-6599 (Online)