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Country and Cross-Border Effects in Liquidity : An Empirical Analysis of International Equity Markets
| Content Provider | Semantic Scholar |
|---|---|
| Author | Bailey, Warren Caia, Jun |
| Copyright Year | 2007 |
| Abstract | For a large cross-sectional of stocks from 26 developed countries other than the U.S., we provide the most comprehensive study on the common variation in liquidity in international equity markets. We find that there is prevalent evidence on the country-wide common liquidity factor. We also find the cross-sectional variation in liquidity betas are closely related to the level of bidask spread, firm size, trading activity, number of analysts following, earnings dispersion, and the level of investbility or public float. In addition, there exist significant cross-border causal relations in intraday aggregate liquidity factors. The cross-border effects are more significant in European markets than in the Asian markets. _______________ Financial support from City University of Hong Kong (Cai) is gratefully acknowledged. * Corresponding author. Tel: 852 2788 7975. E-mail address: efjuncai@cityu.edu.hk. |
| File Format | PDF HTM / HTML |
| Alternate Webpage(s) | http://sfm.finance.nsysu.edu.tw/pdf/pastawardpapers/2007-03.pdf |
| Language | English |
| Access Restriction | Open |
| Content Type | Text |
| Resource Type | Article |
