Cheung, Stephen Yan LeungStephen Yan LeungCheungZhang, Z.Cai, J.2025-11-062025-11-062009https://repository.sfu.edu.hk/handle/sfu/5076Using 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.enjournal article10.1002/fut.20383