IDEAS home Printed from https://ideas.repec.org/a/bla/intfin/v29y2026i1p167-185.html

Analyst Coverage and Commonality in Liquidity: International Evidence

Author

Listed:
  • Nguyen Tram Anh Tran
  • Van Ha Nguyen
  • Bao Ngoc Dinh

Abstract

This research investigates the relationship between analyst coverage and liquidity commonality, as well as whether country‐level institutional environments affect this relationship. Our empirical analysis is based on an international sample of publicly‐listed firms from 53 countries over the period of 2000–2019. Amihud's (2002) daily illiquidity measure is employed as a proxy for stock liquidity, whereas the stock's liquidity commonality is calculated by using the R2 obtained from the regression of the daily change in individual stock liquidity on the daily change in the market's liquidity. We find that analyst coverage is negatively related to the stock's liquidity commonality. Importantly, our further analysis indicates that the negative association between analyst coverage and liquidity commonality is more (less) pronounced in countries exhibiting weaker (stronger) institutional characteristics. Our results remain unchanged when employing the alternative proxy of stock liquidity, different methods to control for endogeneity problems and across subsamples. Our study is one of the first to provide cross‐country evidence on the effect of analyst coverage on commonality in liquidity. As such, our study highlights the important role played by analyst coverage in improving firm information environment in international equity markets.

Suggested Citation

  • Nguyen Tram Anh Tran & Van Ha Nguyen & Bao Ngoc Dinh, 2026. "Analyst Coverage and Commonality in Liquidity: International Evidence," International Finance, Wiley Blackwell, vol. 29(1), pages 167-185, April.
    • Handle: RePEc:bla:intfin:v:29:y:2026:i:1:p:167-185
    DOI: 10.1111/infi.70018
    as

    Download full text from publisher

    File URL: https://doi.org/10.1111/infi.70018
    Download Restriction: no
    File URL: https://libkey.io/10.1111/infi.70018?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:intfin:v:29:y:2026:i:1:p:167-185. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: http://www.blackwellpublishing.com/journal.asp?ref=1367-0271 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.