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Title: Commonality in liquidity : evidence from an order-driven market structure
Authors: Brockman, P
Chung, DY
Keywords: G15
Issue Date: 2002
Publisher: Blackwell Publishing
Source: Journal of financial research, 2002, v. 25, no. 4, p. 521-539 How to cite?
Journal: Journal of financial research 
Abstract: Events such as the 1997 East Asian financial crisis indicate that individual firm liquidity is strongly influenced by marketwide factors. Previous market microstructure research, however, focuses almost exclusively on the firm-specific attributes of liquidity. Our study follows the recent shift in emphasis toward commonality by examining systematic liquidity in an order-driven market structure. Using data from the Stock Exchange of Hong Kong, we show that commonality in liquidity includes both market and industry components, and is pervasive across size-sorted portfolios. We also find a significant market and industry component in individual firms' order flow. In contrast to quote-driven results, we do not find a positive relation between firm size and sensitivity to changes in marketwide bid-ask spreads.
ISSN: 1475-6803
DOI: 10.1111/1475-6803.00035
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