Commonality in Liquidity
Journal of Financial Economics
Posted: 31 Jan 2000
The market micro-structure literature has typically focussed on single assets. Prior to this paper there has been virtually no empirical work on the common determinants of liquidity. This paper documents that quoted spreads, quoted depth and effective spreads co-move with market-wide and industry-wide liquidity. Significant common influences are documented after controlling for return volatility, trading volume and stock price.
Note: This is a description of the paper and is not the actual abstract.
JEL Classification: G23, D82
Suggested Citation: Suggested Citation