Commonality in liquidity: Evidence from the Australian Stock Exchange

Joel Fabre*, Alex Frino

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

43 Citations (Scopus)


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 languageEnglish
Pages (from-to)357-368
Number of pages12
JournalAccounting and Finance
Issue number3
Publication statusPublished - Nov 2004


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

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