Commonality in liquidity

• 成果类型: Article
• 署名作者: Chordia, T; Roll, R; Subrahmanyam, A
• 署名单位: University of California System; University of California Los Angeles; Vanderbilt University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/S0304-405X(99)00057-4
• 发表日期: 2000
• 页码: 3-28
• 关键词: liquidity; trading costs; Co-movement; microstructure

摘要

Traditionally and understandably, the microscope of market microstructure has focused on attributes of single assets. Little theoretical attention and virtually no empirical work has been devoted to common determinants of liquidity nor to their empirical manifestation, correlated movements in liquidity. But a wider-angle lens exposes an imposing image of commonality. Quoted spreads, quoted depth, and effective spreads co-move with market- and industry-wide liquidity. After controlling for well-known individual liquidity determinants, such as volatility, volume, and price, common influences remain significant and material. Recognizing the existence of commonality is a key to uncovering some suggestive evidence that inventory risks and asymmetric information both affect intertemporal changes in liquidity. (C) 2000 Elsevier Science S.A. All rights reserved. JEL classification: G23; D82.