Commonality in Liquidity
Title | Commonality in Liquidity PDF eBook |
Author | Tarun Chordia |
Publisher | |
Pages | 43 |
Release | 2000 |
Genre | |
ISBN |
Traditionally and understandably, the microscope of market microstructure has focused on attributes of single assets. Little theoretical attention and virtually no empirical work has been devoted to common determinants of liquidity nor to their empirical manifestation, correlated movements in liquidity. But a wider-angle lens exposes an imposing image of commonality. Quoted spreads, quoted depth, and effective spreads co-move with market- and industry-wide liquidity. After controlling for well-known individual liquidity determinants such as volatility, volume, and price, common influences remain significant and material. Recognizing the existence of commonality is a key to uncovering some suggestive evidence that inventory risks and asymmetric information both affect intertemporal changes in liquidity.
Understanding Commonality in Liquidity Around the World
Title | Understanding Commonality in Liquidity Around the World PDF eBook |
Author | George Andrew Karolyi |
Publisher | |
Pages | 64 |
Release | 2011 |
Genre | |
ISBN |
We examine how commonality in liquidity varies across countries and over time in ways related to supply determinants (funding liquidity of financial intermediaries) and demand determinants (correlated trading behavior of international and institutional investors, incentives to trade individual securities, and investor sentiment) of liquidity. Commonality in liquidity is greater in countries with and during times of high market volatility (especially, large market declines), greater presence of international investors, and more correlated trading activity. Our evidence is more reliably consistent with demand-side explanations and challenges the ability of the funding liquidity hypothesis to help us understand important aspects of financial market liquidity around the world, even during the recent financial crisis.
Commonality in Liquidity
Title | Commonality in Liquidity PDF eBook |
Author | Andrew Koch |
Publisher | |
Pages | 61 |
Release | 2017 |
Genre | |
ISBN |
We hypothesize that a source of commonality in a stock's liquidity arises from correlated liquidity demand of the stock's investors. Focusing on correlated trading of mutual funds, we find that stocks with high mutual fund ownership have comovements in liquidity about twice as large as those for stocks with low mutual fund ownership. Further analysis shows that the channels for these comovements derive from both common ownership across funds and funds' correlated liquidity shocks. We obtain inferences supporting causality from an exogenous flow shock for mutual funds in the aftermath of the 2003 mutual fund scandal.
Common Market Makers and Commonality in Liquidity
Title | Common Market Makers and Commonality in Liquidity PDF eBook |
Author | Mohsen Moussa Saad |
Publisher | |
Pages | 115 |
Release | 2002 |
Genre | Liquidity (Economics) |
ISBN |
The Empirical Analysis of Liquidity
Title | The Empirical Analysis of Liquidity PDF eBook |
Author | Craig Holden |
Publisher | Now Publishers |
Pages | 90 |
Release | 2014-11-28 |
Genre | Business & Economics |
ISBN | 9781601988744 |
We provide a synthesis of the empirical evidence on market liquidity. The liquidity measurement literature has established standard measures of liquidity that apply to broad categories of market microstructure data. Specialized measures of liquidity have been developed to deal with data limitations in specific markets, to provide proxies from daily data, and to assess institutional trading programs. The general liquidity literature has established local cross-sectional patterns, global cross-sectional patterns, and time-series patterns.
Commonality in Liquidity
Title | Commonality in Liquidity PDF eBook |
Author | Chitru S. Fernando |
Publisher | |
Pages | 40 |
Release | 2002 |
Genre | |
ISBN |
Commonality of Liquidity Around the World
Title | Commonality of Liquidity Around the World PDF eBook |
Author | Mehmet F. Dicle |
Publisher | |
Pages | 103 |
Release | 2008 |
Genre | |
ISBN |