Using both marketwide and firm‐level illiquidity measures of the stock, bond, and credit default swap markets, we find that comovements of illiquidity across markets increase significantly during the recent global financial crisis. Moreover, the degree of comovement remains significantly higher in the postcrisis period and regulatory period than in the precrisis period. Specifically, the distribution of firm‐level comovements is notably different before and after the crisis (e.g., a much larger portion of firms with positive pairwise correlations between illiquidity measures in the postcrisis period than in the precrisis period). Our results provide suggestive evidence of the financial crisis effects and the subsequent postcrisis regulations on the comovements of illiquidity across markets.

中文翻译：

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全球金融危机爆发之前，之中和之后的股票，债券和CDs流动性变化

通过使用股票，债券和信用违约掉期市场的市场和公司层面的非流动性度量，我们发现在最近的全球金融危机期间，整个市场的非流动性共同作用显着增加。而且，在危机后时期和监管时期，同动程度仍然显着高于危机前时期。具体而言，危机之前和之后的企业水平联动分布显着不同（例如，危机后时期流动性测度之间的成对正相关的企业比危机前时期要大得多）。我们的结果为金融危机的影响以及随后的危机后法规对跨市场流动性不足的变化提供了有力的证据。