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Liquidity commonality and return co-movement

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  • Domowitz, Ian
  • Hansch, Oliver
  • Wang, Xiaoxin

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File URL: http://www.sciencedirect.com/science/article/B6VHN-4GR344N-1/2/2f9b2ab68c18f27a4dcc92e58779e37b
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Bibliographic Info

Article provided by Elsevier in its journal Journal of Financial Markets.

Volume (Year): 8 (2005)
Issue (Month): 4 (November)
Pages: 351-376

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Handle: RePEc:eee:finmar:v:8:y:2005:i:4:p:351-376

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Web page: http://www.elsevier.com/locate/finmar

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References

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  1. 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.
  2. Huberman, Gur & Halka, Dominika, 2001. "Systematic Liquidity," Journal of Financial Research, Southern Finance Association & Southwestern Finance Association, vol. 24(2), pages 161-78, Summer.
  3. Ranaldo, Angelo, 2004. "Order aggressiveness in limit order book markets," Journal of Financial Markets, Elsevier, vol. 7(1), pages 53-74, January.
  4. Chordia, Tarun & Roll, Richard & Subrahmanyam, Avanidhar, 2000. "Commonality in liquidity," Journal of Financial Economics, Elsevier, vol. 56(1), pages 3-28, April.
  5. Foucault, Thierry, 1999. "Order flow composition and trading costs in a dynamic limit order market1," Journal of Financial Markets, Elsevier, vol. 2(2), pages 99-134, May.
  6. Biais, Bruno & Hillion, Pierre & Spatt, Chester, 1995. " An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse," Journal of Finance, American Finance Association, vol. 50(5), pages 1655-89, December.
  7. Hamao, Y. & Hasbrouck, J., 1992. "Securities Trading in the Absence of Dealers: Trade and Quotes on the Tokyo Stock Exchange," Papers 92-35, Columbia - Graduate School of Business.
  8. 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.
  9. 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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Citations

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Cited by:
  1. Rösch, Christoph G. & Kaserer, Christoph, 2013. "Market liquidity in the financial crisis: The role of liquidity commonality and flight-to-quality," Journal of Banking & Finance, Elsevier, vol. 37(7), pages 2284-2302.
  2. Rakowski, David & Wang Beardsley, Xiaoxin, 2008. "Decomposing liquidity along the limit order book," Journal of Banking & Finance, Elsevier, vol. 32(8), pages 1687-1698, August.
  3. Pukthuanthong-Le, Kuntara & Visaltanachoti, Nuttawat, 2009. "Commonality in liquidity: Evidence from the Stock Exchange of Thailand," Pacific-Basin Finance Journal, Elsevier, vol. 17(1), pages 80-99, January.
  4. Masahiro Watanabe, 2003. "A Model of Stochastic Liquidity," Yale School of Management Working Papers ysm385, Yale School of Management.
  5. Paresh Kumar Narayan & Zhichao Zhang & Xinwei Zheng, 2010. "Some Hypotheses on Commonality in Liquidity: New Evidence from the Chinese Stock Market," Economics Series 2010_10, Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance.
  6. Stange, Sebastian & Kaserer, Christoph, 2008. "Why and how to integrate liquidity risk into a VaR-framework," CEFS Working Paper Series 2008-10, Center for Entrepreneurial and Financial Studies (CEFS), Technische Universität München.
  7. Sklavos, Konstantinos & Dam, Lammertjan & Scholtens, Bert, 2013. "The liquidity of energy stocks," Energy Economics, Elsevier, vol. 38(C), pages 168-175.
  8. Anderson, Richard G. & Binner, Jane M. & Hagströmer, Björn & Nilsson, Birger, 2013. "Does Commonality in Illiquidity Matter to Investors?," Working Papers 2013:24, Lund University, Department of Economics.
  9. Cao, Melanie & Wei, Jason, 2010. "Option market liquidity: Commonality and other characteristics," Journal of Financial Markets, Elsevier, vol. 13(1), pages 20-48, February.
  10. 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.
  11. Chollete, Lorán, 2008. "The Propagation of Financial Extremes: An Application to Subprime Market Spillovers," Discussion Papers 2008/2, Department of Business and Management Science, Norwegian School of Economics.
  12. Karolyi, G. Andrew & Lee, Kuan Hui & van Dijk, Mathijs A., 2007. "Common Patterns in Commonality in Returns, Liquidity, and Turnover around the World," Working Paper Series 2007-16, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
  13. Karolyi, G. Andrew & Lee, Kuan-Hui & van Dijk, Mathijs A., 2012. "Understanding commonality in liquidity around the world," Journal of Financial Economics, Elsevier, vol. 105(1), pages 82-112.
  14. Corwin, Shane A. & Lipson, Marc L., 2011. "Order characteristics and the sources of commonality in prices and liquidity," Journal of Financial Markets, Elsevier, vol. 14(1), pages 47-81, February.

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