Common factors in liquidity: Evidence from Taiwan's OTC stock market

While liquidity plays an important role in market microstructure research, little previous work has been devoted to the common determinants of liquidity. In this study, we investigate common factors in liquidity by means of regression analysis using daily and intraday data in the Taiwan OTC stock market. Our empirical results based on the daily data provide evidence that market- and industry-wide effects do exist in Taiwan's OTC market. These common factors are also found in the intraday data, but the effectiveness of the factors is not the same among the different trading intervals.