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Commonality in Liquidity: A Global Perspective

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Author Info
Brockman, Paul
Chung, Dennis Y.
P?rignon, Christophe
Abstract

We conduct a comprehensive study of commonality in liquidity using intraday spread and depth data from 47 stock exchanges. We find that firm-level changes in liquidity are significantly influenced by exchange-level changes across most of the world s total commonality in liquidity, while global sources contribute an additional 19%. We also investigate potential sources of exchange-level and global commonality. We show that commonality is driven by both domestic and U.S. macroeconomic announcements.

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Publisher Info
Article provided by Cambridge University Press in its journal Journal of Financial and Quantitative Analysis.

Volume (Year): 44 (2009)
Issue (Month): 04 (August)
Pages: 851-882
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Handle: RePEc:cup:jfinqa:v:44:y:2009:i:04:p:851-882_99

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This page was last updated on 2009-12-14.

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