Explaining country and cross-border liquidity commonality in international equity markets
✍ Scribed by Zheng Zhang; Jun Cai; Yan Leung Cheung
- Publisher
- John Wiley and Sons
- Year
- 2009
- Tongue
- English
- Weight
- 118 KB
- Volume
- 29
- Category
- Article
- ISSN
- 0270-7314
No coin nor oath required. For personal study only.
✦ Synopsis
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 controlling for country and industry effects, relate to such firm‐specific measures as size, bid–ask spread, and the extent of analyst coverage. Additionally, within‐country liquidity commonality is lower for firms with depository receipts cross listed in New York or London. Cross‐border liquidity commonality is particularly high for firms with relatively high actual ownership by foreign institutions. © 2009 Wiley Periodicals, Inc. Jrl Fut Mark 29:630–652, 2009