Common market makers and commonality in liquidity

• 成果类型: Article
• 署名作者: Coughenour, JF; Saad, MM
• 署名单位: University of Delaware; U.S. Securities & Exchange Commission (SEC); American University in Dubai (AUD)
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2003.05.006
• 发表日期: 2004
• 页码: 37-69
• 关键词: liquidity; Co-movement; specialist firms; microstructure

摘要

Each NYSE specialist firm provides liquidity for more than one common stock. As a result of shared capital and information among specialists within a firm, we argue that stock liquidity will co-move with the liquidity of other stocks handled by the same specialist firm, with magnitude increasing with the risk of providing liquidity. The evidence indicates that individual stock liquidity co-varies with specialist portfolio liquidity apart from information reflected by market liquidity variation. Further tests based on specialist firm size, specialist firm mergers, and market returns indicate that liquidity co-variation increases with the risk of providing liquidity. (C) 2004 Elsevier B.V. All rights reserved.