| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 976340 | Pacific-Basin Finance Journal | 2009 | 20 Pages |
Abstract
This study examines commonality in liquidity of the Stock Exchange of Thailand (SET) using a limited order book data from 1996 to 2003. Strong evidence is found for market-wide commonality in liquidity, which prevails across several liquidity measurements. Industry-wide commonality is found to be stronger than market-wide commonality in liquidity. However, we do not find a market-wide correlated liquidity supply imbalance. There is evidence that indicates a fall in individual liquidity on Monday and after a day with a positive return.
Keywords
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Kuntara Pukthuanthong-Le, Nuttawat Visaltanachoti,