Explaining country and cross-border liquidity commonality in international equity markets
Author(s)
Author(s)
Zhang, Z.
Cai, J.
Date Issued
2009
Publisher
John Wiley & Sons
Journal
The Journal of Futures Markets
Volume
29
Issue
7
Start page
630
End page
652
Abstract
Using a large cross section of intraday data from 25 developed countries, we study commonality in liquidity, both within and across international equity markets, over 15-minute intervals. Within-country and cross-border liquidity commonalities are found to be significant and, after controlling for country and industry effects, relate to such firm-specific measures as size, bid–ask spread, and the extent of analyst coverage. Additionally, within-country liquidity commonality is lower for firms with depository receipts cross listed in New York or London. Cross-border liquidity commonality is particularly high for firms with relatively high actual ownership by foreign institutions.
SFU Affiliated Publication
No
Availability at SFU Library
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