Commonality in liquidity: Evidence from the Australian Stock Exchange
AbstractSeveral studies have reported strong evidence of commonality in liquidity in US markets. The present study uses the research design of Chordia "et al". (2000) to examine commonality in liquidity for a broad sample of stocks listed on the Australian Stock Exchange (ASX). In contrast to previous research, there is some evidence of market-wide commonality in liquidity for ASX stocks, but it is less significant and less pervasive than that observed in other markets. These results are consistent with explanations based on differences in market structure between the USA and Australia. Copyright (c) 2004 Accounting and Finance Association of Australia and New Zealand.
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Bibliographic InfoArticle provided by Accounting and Finance Association of Australia and New Zealand in its journal Accounting and Finance.
Volume (Year): 44 (2004)
Issue (Month): 3 ()
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- Cao, Melanie & Wei, Jason, 2010. "Option market liquidity: Commonality and other characteristics," Journal of Financial Markets, Elsevier, vol. 13(1), pages 20-48, February.
- Paresh Kumar Narayan & Xinwei Zheng & Zhichao Zhang, 2011.
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Financial Econometics Series
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- Wang, Jianxin, 2013. "Liquidity commonality among Asian equity markets," Pacific-Basin Finance Journal, Elsevier, vol. 21(1), pages 1209-1231.
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