Commonality in liquidity: Evidence from the Australian Stock Exchange

Joel Fabre; Alex Frino

doi:10.1111/j.1467-629x.2004.00117.x

Commonality in liquidity: Evidence from the Australian Stock Exchange

Joel Fabre^*, Alex Frino

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

56 Citations (Scopus)

Abstract

Several studies have reported strong evidence of commonality in liquidity in US markets. The present study uses the research design of Chordia et al. (2000) to examine commonality in liquidity for a broad sample of stocks listed on the Australian Stock Exchange (ASX). In contrast to previous research, there is some evidence of market-wide commonality in liquidity for ASX stocks, but it is less significant and less pervasive than that observed in other markets. These results are consistent with explanations based on differences in market structure between the USA and Australia.

Original language	English
Pages (from-to)	357-368
Number of pages	12
Journal	Accounting and Finance
Volume	44
Issue number	3
DOIs	https://doi.org/10.1111/j.1467-629x.2004.00117.x
Publication status	Published - Nov 2004

Keywords

Australian Stock Exchange
Commonality in liquidity
Market microstructure
Order-driven market

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Commonality in liquidity: Evidence from the Australian Stock Exchange

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Keywords

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