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Analyst Coverage and Commonality in Liquidity: International Evidence

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  • 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
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    References listed on IDEAS

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