Systematic liquidity in the long run

Charly Sujoto; Petko Kalev; Robert Faff

doi:10.1080/17446540701591357

Systematic liquidity in the long run

Charly Sujoto, Petko Kalev, Robert Faff

Research output: Contribution to journal › Article › peer-review

3 Citations (Scopus)

Abstract

In this article we develop a long-run systematic liquidity measure by augmenting the standard model with a lagged dependent variable. Our empirical application involves a large sample of Australian equities and we find pervasive evidence of long-run commonality in liquidity. We also find evidence of a mean reversion tendency for time-varying liquidity beta. This result implies that the liquidity movement in the stock market maybe more influenced by noise traders' activity rather than informed traders' activity.

Original language	English
Pages (from-to)	187-191
Number of pages	5
Journal	Applied Financial Economics Letters
Volume	4
Issue number	3
DOIs	https://doi.org/10.1080/17446540701591357
Publication status	Published - 2008

Keywords

Australia
liquidity (economics)
stocks

Access to Document

10.1080/17446540701591357

Cite this

@article{802a2d3281014622b643ea8ad3e63d84,

title = "Systematic liquidity in the long run",

abstract = "In this article we develop a long-run systematic liquidity measure by augmenting the standard model with a lagged dependent variable. Our empirical application involves a large sample of Australian equities and we find pervasive evidence of long-run commonality in liquidity. We also find evidence of a mean reversion tendency for time-varying liquidity beta. This result implies that the liquidity movement in the stock market maybe more influenced by noise traders' activity rather than informed traders' activity.",

keywords = "Australia, liquidity (economics), stocks",

author = "Charly Sujoto and Petko Kalev and Robert Faff",

year = "2008",

doi = "10.1080/17446540701591357",

language = "English",

volume = "4",

pages = "187--191",

journal = "Applied Financial Economics Letters",

issn = "1744-6546",

publisher = "Routledge",

number = "3",

}

TY - JOUR

T1 - Systematic liquidity in the long run

AU - Sujoto, Charly

AU - Kalev, Petko

AU - Faff, Robert

PY - 2008

Y1 - 2008

N2 - In this article we develop a long-run systematic liquidity measure by augmenting the standard model with a lagged dependent variable. Our empirical application involves a large sample of Australian equities and we find pervasive evidence of long-run commonality in liquidity. We also find evidence of a mean reversion tendency for time-varying liquidity beta. This result implies that the liquidity movement in the stock market maybe more influenced by noise traders' activity rather than informed traders' activity.

AB - In this article we develop a long-run systematic liquidity measure by augmenting the standard model with a lagged dependent variable. Our empirical application involves a large sample of Australian equities and we find pervasive evidence of long-run commonality in liquidity. We also find evidence of a mean reversion tendency for time-varying liquidity beta. This result implies that the liquidity movement in the stock market maybe more influenced by noise traders' activity rather than informed traders' activity.

KW - Australia

KW - liquidity (economics)

KW - stocks

UR - http://handle.uws.edu.au:8081/1959.7/uws:32033

U2 - 10.1080/17446540701591357

DO - 10.1080/17446540701591357

M3 - Article

SN - 1744-6546

VL - 4

SP - 187

EP - 191

JO - Applied Financial Economics Letters

JF - Applied Financial Economics Letters

IS - 3

ER -

Systematic liquidity in the long run

Abstract

Keywords

Access to Document

Other files and links

Fingerprint

Cite this