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Commonality in Liquidity: A Global Perspective

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  • Brockman, Paul
  • Chung, Dennis Y.
  • Pérignon, Christophe
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    File URL: http://journals.cambridge.org/abstract_S0022109009990123
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    Bibliographic 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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    Cited by:
    1. Angelidis, Timotheos & Andrikopoulos, Andreas, 2010. "Idiosyncratic risk, returns and liquidity in the London Stock Exchange: A spillover approach," International Review of Financial Analysis, Elsevier, vol. 19(3), pages 214-221, June.
    2. Hagströmer, Björn & Nilsson, Birger & Hansson, Björn, 2011. "The components of the illiquidity premium: An empirical analysis of U.S. stocks 1927-2010," Working Papers 2011:24, Lund University, Department of Economics.
    3. Sergio Mayordomo & Juan Ignacio Peña & María Rodríguez-Moreno, 2012. "Liquidity Commonalities in the Corporate CDS Market around the 2007-2012 Financial Crisis," Faculty Working Papers 23/12, School of Economics and Business Administration, University of Navarra.
    4. Lee, Kuan-Hui, 2011. "The world price of liquidity risk," Journal of Financial Economics, Elsevier, vol. 99(1), pages 136-161, January.
    5. Cao, Melanie & Wei, Jason, 2010. "Option market liquidity: Commonality and other characteristics," Journal of Financial Markets, Elsevier, vol. 13(1), pages 20-48, February.
    6. Paresh Kumar Narayan & Xinwei Zheng & Zhichao Zhang, 2011. "Some hypothesis on commonality in liquidity: New evidence from the Chinese stock market," Financial Econometics Series 2011_11, Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance.
    7. Kessler, Stephan & Scherer, Bernd, 2011. "Hedge fund return sensitivity to global liquidity," Journal of Financial Markets, Elsevier, vol. 14(2), pages 301-322, May.
    8. Andrikopoulos, Andreas & Angelidis, Timotheos & Skintzi, Vasiliki, 2012. "Illiquidity, return and risk in G7 stock markets: interdependencies and spillovers," MPRA Paper 40003, University Library of Munich, Germany.

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