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Commonality in liquidity: transmission of liquidity shocks across investors and securities

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  • Fernando, Chitru S.

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  • Fernando, Chitru S., 2003. "Commonality in liquidity: transmission of liquidity shocks across investors and securities," Journal of Financial Intermediation, Elsevier, vol. 12(3), pages 233-254, July.
    • Handle: RePEc:eee:jfinin:v:12:y:2003:i:3:p:233-254
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    1. Michaely, Roni & Vila, Jean-Luc & Wang, Jiang, 1996. "A Model of Trading Volume with Tax-Induced Heterogeneous Valuation and Transaction Costs," Journal of Financial Intermediation, Elsevier, vol. 5(4), pages 340-371, October.
    2. Tkac, Paula A., 1999. "A Trading Volume Benchmark: Theory and Evidence," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 34(1), pages 89-114, March.
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    4. Gur Huberman & Dominika Halka, 2001. "Systematic Liquidity," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 24(2), pages 161-178, June.
    5. Douglas W. Diamond & Philip H. Dybvig, 2000. "Bank runs, deposit insurance, and liquidity," Quarterly Review, Federal Reserve Bank of Minneapolis, vol. 24(Win), pages 14-23.
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    8. Amihud, Yakov & Mendelson, Haim, 1986. "Asset pricing and the bid-ask spread," Journal of Financial Economics, Elsevier, vol. 17(2), pages 223-249, December.
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    10. Bhattacharya, Utpal & Spiegel, Matthew, 1991. "Insiders, Outsiders, and Market Breakdowns," The Review of Financial Studies, Society for Financial Studies, vol. 4(2), pages 255-282.
    11. Wruck, Karen Hopper, 1989. "Equity ownership concentration and firm value : Evidence from private equity financings," Journal of Financial Economics, Elsevier, vol. 23(1), pages 3-28, June.
    12. Lo, Andrew W & Wang, Jiang, 2000. "Trading Volume: Definitions, Data Analysis, and Implications of Portfolio Theory," The Review of Financial Studies, Society for Financial Studies, vol. 13(2), pages 257-300.
    13. Chordia, Tarun & Roll, Richard & Subrahmanyam, Avanidhar, 2000. "Commonality in liquidity," Journal of Financial Economics, Elsevier, vol. 56(1), pages 3-28, April.
    14. Kyle, Albert S, 1985. "Continuous Auctions and Insider Trading," Econometrica, Econometric Society, vol. 53(6), pages 1315-1335, November.
    15. 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.
    16. Brennan, Michael J. & Subrahmanyam, Avanidhar, 1996. "Market microstructure and asset pricing: On the compensation for illiquidity in stock returns," Journal of Financial Economics, Elsevier, vol. 41(3), pages 441-464, July.
    17. Caballe, Jordi & Krishnan, Murugappa, 1994. "Imperfect Competition in a Multi-security Market with Risk Neutrality," Econometrica, Econometric Society, vol. 62(3), pages 695-704, May.
    18. Eleswarapu, Venkat R. & Reinganum, Marc R., 1993. "The seasonal behavior of the liquidity premium in asset pricing," Journal of Financial Economics, Elsevier, vol. 34(3), pages 373-386, December.
    19. Glosten, Lawrence R, 1989. "Insider Trading, Liquidity, and the Role of the Monopolist Specialist," The Journal of Business, University of Chicago Press, vol. 62(2), pages 211-235, April.
    20. Spiegel, Matthew & Subrahmanyam, Avanidhar, 1992. "Informed Speculation and Hedging in a Noncompetitive Securities Market," The Review of Financial Studies, Society for Financial Studies, vol. 5(2), pages 307-329.
    21. Karpoff, Jonathan M, 1986. "A Theory of Trading Volume," Journal of Finance, American Finance Association, vol. 41(5), pages 1069-1087, December.
    22. Huberman, Gur & Halka, Dominika, 2001. "Systematic Liquidity," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 24(2), pages 161-178, Summer.
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    Citations

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    Cited by:

    1. Masahiro Watanabe, 2003. "A Model of Stochastic Liquidity," Yale School of Management Working Papers ysm385, Yale School of Management.
    2. Großmaß Lidan, 2014. "Liquidity and the Value at Risk," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 234(5), pages 572-602, October.
    3. Moshirian, Fariborz & Qian, Xiaolin & Wee, Claudia Koon Ghee & Zhang, Bohui, 2017. "The determinants and pricing of liquidity commonality around the world," Journal of Financial Markets, Elsevier, vol. 33(C), pages 22-41.
    4. Castellano, Rosella & Cerqueti, Roy, 2011. "The optimal bid/ask spread in a Specialist System," Economic Modelling, Elsevier, vol. 28(5), pages 2247-2253, September.
    5. Langnan Chen & Steven Li & Jinan Wang, 2011. "Liquidity, Skewness and Stock Returns: Evidence from Chinese Stock Market," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 18(4), pages 405-427, November.
    6. Fernando, Chitru S. & Herring, Richard J. & Subrahmanyam, Avanidhar, 2008. "Common liquidity shocks and market collapse: Lessons from the market for perps," Journal of Banking & Finance, Elsevier, vol. 32(8), pages 1625-1635, August.
    7. Sheng Huang & Jonathan Williams & Ru Xie, 2017. "The Future of Money: Liquidity co-movement between financial institutions and real estate firms: evidence from China," Working Papers 17004, Bangor Business School, Prifysgol Bangor University (Cymru / Wales).
    8. Ramos, Sofia B. & von Thadden, Ernst-Ludwig, 2008. "Stock exchange competition in a simple model of capital market equilibrium," Journal of Financial Markets, Elsevier, vol. 11(3), pages 284-307, August.
    9. Anagnostidis, Panagiotis & Fontaine, Patrice, 2020. "Liquidity commonality and high frequency trading: Evidence from the French stock market," International Review of Financial Analysis, Elsevier, vol. 69(C).
    10. 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.
    11. Rahi, Rohit & Zigrand, Jean-Pierre, 2007. "A theory of strategic intermediation and endogenous liquidity," LSE Research Online Documents on Economics 4764, London School of Economics and Political Science, LSE Library.
    12. Kempf, Alexander & Mayston, Daniel, 2006. "Liquidity commonality beyond best prices," CFR Working Papers 06-04, University of Cologne, Centre for Financial Research (CFR).
    13. Rahi, Rohit & Zigrand, Jean-Pierre, 2013. "Market quality and contagion in fragmented markets," LSE Research Online Documents on Economics 60971, London School of Economics and Political Science, LSE Library.
    14. Rahi, Rohit & Zigrand, Jean-Pierre, 2009. "Endogenous liquidity and contagion," LSE Research Online Documents on Economics 29300, London School of Economics and Political Science, LSE Library.
    15. Co-Pierre Georg & Jenny Poschmann, 2010. "Systemic risk in a network model of interbank markets with central bank activity," Jena Economics Research Papers 2010-033, Friedrich-Schiller-University Jena.
    16. Bien, Katarzyna & Nolte, Ingmar & Pohlmeier, Winfried, 2006. "Estimating liquidity using information on the multivariate trading process," CoFE Discussion Papers 06/04, University of Konstanz, Center of Finance and Econometrics (CoFE).
    17. Masahiro Watanabe, 2003. "A Model of Stochastic Liquidity," Yale School of Management Working Papers ysm385, Yale School of Management.

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