We found a match
Your institution may have access to this item. Find your institution then sign in to continue.
- Title
Commonality in Liquidity: A Global Perspective.
- Authors
Brockman, Paul; Chung, Dennis Y.; Pérignon, Christophe
- Abstract
The article examines commonality in iiquidity using the intraday spread from 47 stock exchanges. Firm-level changes in liquidity are found to be significantly affected by exchange-level spreads in most world stock exchanges. Asian exchanges. Asian exchanges has strong commonality while Latin American exchanges exhibited the least. Evidence is found of a global component to bid-ask spreads and depth. Commonality is shown to be affected by both domestic and U.S. macroeconomic announcements on economic indicators.
- Subjects
ASIA; LATIN America; UNITED States; LIQUIDITY (Economics); SPREAD (Finance); BID price; ASKED price
- Publication
Journal of Financial & Quantitative Analysis, 2009, Vol 44, Issue 4, p851
- ISSN
0022-1090
- Publication type
Article
- DOI
10.1017/S0022109009990123