This study investigates the existence of commonality in the liquidity of an emerging stock market that applies an order-driven trading system. Moreover, this study explores the dynamic relationship between macroeconomic variables and stock market liquidity. In addition, it examines the relation between stock liquidity and expected return. This study examines the market-wide co-movements in liquidity within the Malaysian stock exchange using a broad sample of 125 stocks covering a period of more than 16 years, which is also used in analysing the relation between macroeconomic variables and stock market liquidity. Value-weighted market liquidity variables are used in our estimation. The results show that commonality in liquidity does exist ...
Market microstructure research has recently devoted attention to a phenomenon called commonality in ...
In this article, we examine four specific hypotheses relating to commonality in liquidity on the Chi...
Events such as the 1997 East Asian financial crisis indicate that individual firm liquidity is stron...
We identify some of the factors affecting the extent of commonality in liquidity and differences bet...
The popularization of commonalities in liquidity has led the stock market liquidity research to enco...
The financial crises, such as the market crash of October 1987, the 1997 East Asian financial crisis...
Following previous research which established that liquidity commonality exists within one stoc...
This study investigates commonality in liquidity in Tunisia, an order-driven, emerging stock market....
This dissertation presents four stand-alone but interrelated research projects relating to market li...
This study examines the dynamic linkages between commonality in liquidity in international stock mar...
This paper examines the impact of a set of common factors on liquidity variations in twelve Asian eq...
Using a sample of actively traded stocks and options from emerging order-driven market, this study e...
This study re-examines the relationship between liquidity and firm value in the emerging stock marke...
When stock markets are less liquid or illiquid, investors are expected to require compensation for t...
Abstract This paper studies liquidity and volatility commonality in the Canadian stock...
Market microstructure research has recently devoted attention to a phenomenon called commonality in ...
In this article, we examine four specific hypotheses relating to commonality in liquidity on the Chi...
Events such as the 1997 East Asian financial crisis indicate that individual firm liquidity is stron...
We identify some of the factors affecting the extent of commonality in liquidity and differences bet...
The popularization of commonalities in liquidity has led the stock market liquidity research to enco...
The financial crises, such as the market crash of October 1987, the 1997 East Asian financial crisis...
Following previous research which established that liquidity commonality exists within one stoc...
This study investigates commonality in liquidity in Tunisia, an order-driven, emerging stock market....
This dissertation presents four stand-alone but interrelated research projects relating to market li...
This study examines the dynamic linkages between commonality in liquidity in international stock mar...
This paper examines the impact of a set of common factors on liquidity variations in twelve Asian eq...
Using a sample of actively traded stocks and options from emerging order-driven market, this study e...
This study re-examines the relationship between liquidity and firm value in the emerging stock marke...
When stock markets are less liquid or illiquid, investors are expected to require compensation for t...
Abstract This paper studies liquidity and volatility commonality in the Canadian stock...
Market microstructure research has recently devoted attention to a phenomenon called commonality in ...
In this article, we examine four specific hypotheses relating to commonality in liquidity on the Chi...
Events such as the 1997 East Asian financial crisis indicate that individual firm liquidity is stron...