Article ID Journal Published Year Pages File Type
5100684 Journal of Financial Markets 2017 48 Pages PDF
Abstract
In this paper, we examine the determinants and pricing of liquidity commonality using intraday data from 39 markets over 15 years. We show that liquidity commonality is driven by both market-level and firm-level factors. Liquidity commonality is higher in weaker and more-volatile economic and financial environments, in areas with poor investor protection, and in opaque information environments. Liquidity commonality is also affected by cultural and behavioral factors, including individualism and uncertainty avoidance. Moreover, we find that liquidity commonality is priced in the world's stock markets and that the pricing effect is stronger in developed markets.
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
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