Commonality in Liquidity
Journal of Financial Economics
Posted: 31 Jan 2000
There are 2 versions of this paper
Abstract
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
Chordia, Tarun and Subrahmanyam, Avanidhar and Roll, Richard W., Commonality in Liquidity. Journal of Financial Economics, Available at SSRN: https://ssrn.com/abstract=199530
Feedback
Feedback to SSRN
If you need immediate assistance, call 877-SSRNHelp (877 777 6435) in the United States, or +1 212 448 2500 outside of the United States, 8:30AM to 6:00PM U.S. Eastern, Monday - Friday.