Commonality in liquidity: Evidence from the Stock Exchange of Thailand
AbstractThis 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 InfoArticle provided by Elsevier in its journal Pacific-Basin Finance Journal.
Volume (Year): 17 (2009)
Issue (Month): 1 (January)
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Web page: http://www.elsevier.com/locate/pacfin
Liquidity Commonality Microstructure Thailand;
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