| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 961566 | Journal of Financial Markets | 2013 | 25 Pages |
Abstract
⺠We test for the “relative synchronicity” hypothesis and “absolute synchronicity” hypothesis and an increase in systematic volatility or market beta improves stock liquidity. ⺠We conduct empirical analysis based on a sample of NYSE stocks from 1989 to 2008. ⺠We construct liquidity measures using proportional effective bid-ask spread, Kyle's price impact measure and Amihud's illiquidity measure. ⺠Stock return co-movement has a negative relationship with the liquidity measures. ⺠For firms being added to the S&P 500 index, the improvement of the liquidity could be attributed to the increase in co-movement with the market.
Keywords
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Kalok Chan, Allaudeen Hameed, Wenjin Kang,