Understanding commonality in liquidity around the world

• 成果类型: Article
• 署名作者: Karolyi, G. Andrew; Lee, Kuan-Hui; van Dijk, Mathijs A.
• 署名单位: Cornell University; Seoul National University (SNU); Erasmus University Rotterdam; Erasmus University Rotterdam - Excl Erasmus MC
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2011.12.008
• 发表日期: 2012
• 页码: 82-112
• 关键词: Commonality; liquidity; International markets

摘要

We examine how commonality in liquidity varies across countries and over time in ways related to supply determinants (funding liquidity of financial intermediaries) and demand determinants (correlated trading behavior of international and institutional investors, incentives to trade individual securities, and investor sentiment) of liquidity. Commonality in liquidity is greater in countries with and during times of high market volatility (especially, large market declines), greater presence of international investors, and more correlated trading activity. Our evidence is more reliably consistent with demand-side explanations and challenges the ability of the funding liquidity hypothesis to help us understand important aspects of financial market liquidity around the world, even during the recent financial crisis. (C) 2011 Elsevier B.V. All rights reserved.