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The determinants and pricing of liquidity commonality around the world
Moshirian, Fariborz; Qian, Xiaolin; Wee, Claudia Koon Ghee; Zhang, Bohui
2017-03
Source PublicationJOURNAL OF FINANCIAL MARKETS
ISSN1386-4181
Volume33Pages:22-41
AbstractIn this paper, we examine the determinants and pricing of liquidity commonality using intraday data from 39 markets over 15 years. We show that liquidity commonality is driven by both market-level and firm-level factors. Liquidity commonality is higher in weaker and more-volatile economic and financial environments, in areas with poor investor protection, and in opaque information environments. Liquidity commonality is also affected by cultural and behavioral factors, including individualism and uncertainty avoidance. Moreover, we find that liquidity commonality is priced in the world's stock markets and that the pricing effect is stronger in developed markets. (C) 2017 Elsevier B.V. All rights reserved.
KeywordLiquidity commonality Pricing of liquidity International financial markets
DOI10.1016/j.finmar.2017.02.004
URLView the original
Indexed BySSCI
Language英语
WOS Research AreaBusiness & Economics
WOS SubjectBusiness, Finance
WOS IDWOS:000400721100002
PublisherELSEVIER SCIENCE BV
The Source to ArticleWOS
Fulltext Access
Citation statistics
Cited Times [WOS]:10   [WOS Record]     [Related Records in WOS]
Document TypeJournal article
CollectionUniversity of Macau
Recommended Citation
GB/T 7714
Moshirian, Fariborz,Qian, Xiaolin,Wee, Claudia Koon Ghee,et al. The determinants and pricing of liquidity commonality around the world[J]. JOURNAL OF FINANCIAL MARKETS,2017,33:22-41.
APA Moshirian, Fariborz,Qian, Xiaolin,Wee, Claudia Koon Ghee,&Zhang, Bohui.(2017).The determinants and pricing of liquidity commonality around the world.JOURNAL OF FINANCIAL MARKETS,33,22-41.
MLA Moshirian, Fariborz,et al."The determinants and pricing of liquidity commonality around the world".JOURNAL OF FINANCIAL MARKETS 33(2017):22-41.
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