An examination of commonality in liquidity : new evidence from the Australian Stock Exchange

C. Sujoto, P. S. Kalev, R. W. Faff

    Research output: Contribution to journalArticlepeer-review

    3 Citations (Scopus)

    Abstract

    Given a background of relatively weak findings documented in previous Australian work, the current study aims to provide new robust evidence of commonality in liquidity (CL) in this pure order driven market and some rationales regarding unexplained empirical findings. We also extend the methodology employed by previous studies in several ways. In so doing, we employ an enhanced research design, new liquidity proxies and an extended sample period. Apart from conventional measures of systematic liquidity, we also investigate potential non-linearities employing a simple 'up' and 'down' market setup, as well as a quadratic CL specification. Generally, we document a richer set of positive findings regarding the existence of CL in this order driven market setting.
    Original languageEnglish
    Pages (from-to)55-79
    Number of pages25
    JournalJournal for Studies in Economics and Econometrics
    Volume32
    Issue number3
    Publication statusPublished - 2008

    Keywords

    • Australia
    • securities
    • stocks

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