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

✍ Scribed by Jie-Haun Lee; Shu-Ying Lin; Wan-Chen Lee; Chueh-Yung Tsao

Book ID: 116577258
Publisher: Elsevier Science
Year: 2006
Tongue: English
Weight: 193 KB
Volume: 15
Category: Article
ISSN: 1057-5219
DOI: 10.1016/j.irfa.2004.12.004

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## Abstract This study examines commonality in trading activity by various types of institutional investors across futures and stock markets, and the dynamic relationship between the common factors in trading activity and the futures‐cash basis. The empirical results provide evidence of commonality