The determinants and pricing of liquidity commonality around the world

Fariborz Moshirian, Xiaolin Qian, Claudia Koon Ghee Wee, Bohui Zhang

Research output: Contribution to journalArticlepeer-review

20 Citations (Scopus)

Abstract

In 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.
Original languageEnglish
Pages (from-to)22-41
Number of pages20
JournalJournal of Financial Markets
Volume33
DOIs
Publication statusPublished - Mar 2017
Externally publishedYes

Keywords

  • Liquidity commonality
  • Pricing of liquidity
  • International financial markets

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