Explaining country and cross-border liqu
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Zheng Zhang; Jun Cai; Yan Leung Cheung
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Article
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2009
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John Wiley and Sons
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English
β 118 KB
## 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 15βminute intervals. Withinβcountry and crossβborder liquidity commonalities are found to be significant and, after cont