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Commonality in liquidity: Evidence from the Stock Exchange of Thailand

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  • Pukthuanthong-Le, Kuntara
  • Visaltanachoti, Nuttawat

Abstract

This study examines commonality in liquidity of the Stock Exchange of Thailand (SET) using a limited order book data from 1996 to 2003. Strong evidence is found for market-wide commonality in liquidity, which prevails across several liquidity measurements. Industry-wide commonality is found to be stronger than market-wide commonality in liquidity. However, we do not find a market-wide correlated liquidity supply imbalance. There is evidence that indicates a fall in individual liquidity on Monday and after a day with a positive return.

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Bibliographic Info

Article provided by Elsevier in its journal Pacific-Basin Finance Journal.

Volume (Year): 17 (2009)
Issue (Month): 1 (January)
Pages: 80-99

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Handle: RePEc:eee:pacfin:v:17:y:2009:i:1:p:80-99

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

Related research

Keywords: Liquidity Commonality Microstructure Thailand;

References

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Citations

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Cited by:
  1. Krishnan, R. & Mishra, Vinod, 2013. "Intraday liquidity patterns in Indian stock market," Journal of Asian Economics, Elsevier, vol. 28(C), pages 99-114.
  2. Wang, Jianxin, 2013. "Liquidity commonality among Asian equity markets," Pacific-Basin Finance Journal, Elsevier, vol. 21(1), pages 1209-1231.
  3. Chuang, Wen-I & Lee, Hsiu-Chuan, 2010. "The Impact of Short-Sales Constraints on Liquidity and the Liquidity-Return Relations," Pacific-Basin Finance Journal, Elsevier, vol. 18(5), pages 521-535, November.
  4. 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.

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