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Index inclusion and commonality in liquidity: Evidence from the Stock Exchange of Hong Kong

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  • Brockman, Paul
  • Chung, Dennis Y.
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    File URL: http://www.sciencedirect.com/science/article/B6W4W-4JJGFHN-1/2/e6d514517fa86e856fffdce700b62f17
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    Article provided by Elsevier in its journal International Review of Financial Analysis.

    Volume (Year): 15 (2006)
    Issue (Month): 4-5 ()
    Pages: 291-305

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    Handle: RePEc:eee:finana:v:15:y:2006:i:4-5:p:291-305

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    Web page: http://www.elsevier.com/locate/inca/620166

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    1. Chordia, Tarun & Roll, Richard & Subrahmanyam, Avanidhar, 2000. "Commonality in liquidity," Journal of Financial Economics, Elsevier, vol. 56(1), pages 3-28, April.
    2. Huberman, G. & Halka, D., 1999. "Systematic Liquidity," Papers 99-9, Columbia - Graduate School of Business.
    3. Hasbrouck, Joel & Seppi, Duane J., 2001. "Common factors in prices, order flows, and liquidity," Journal of Financial Economics, Elsevier, vol. 59(3), pages 383-411, March.
    4. Coughenour, Jay F. & Saad, Mohsen M., 2004. "Common market makers and commonality in liquidity," Journal of Financial Economics, Elsevier, vol. 73(1), pages 37-69, July.
    5. Paul Brockman & Dennis Y. Chung, 2002. "Commonality in Liquidity: Evidence from an Order-Driven Market Structure," Journal of Financial Research, Southern Finance Association & Southwestern Finance Association, vol. 25(4), pages 521-539.
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    Cited by:
    1. BEAUPAIN, Renaud & GIOT, Pierre & PETITJEAN, Mikael, 2006. "Market-wide liquidity co-movements, volatility regimes and market cap sizes," CORE Discussion Papers 2006102, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).

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