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Excess Comovement in International Equity Markets: Evidence from Cross-border Mergers

✍ Scribed by Brealey, R. A.; Cooper, I. A.; Kaplanis, E.

Book ID
115525491
Publisher
Oxford University Press
Year
2009
Tongue
English
Weight
163 KB
Volume
23
Category
Article
ISSN
0893-9454

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## Abstract Using a large cross section of intraday data from 25 developed countries, we study commonality in liquidity, both within and across international equity markets, over 15‐minute intervals. Within‐country and cross‐border liquidity commonalities are found to be significant and, after cont