Commonality in liquidity: Evidence from the Australian Stock Exchange
Several studies have reported strong evidence of commonality in liquidity in US markets. The present study uses the research design of Chordia et al. (2000) to examine commonality in liquidity for a broad sample of stocks listed on the Australian Stock Exchange (ASX). In contrast to previous research, there is some evidence of market-wide commonality in liquidity for ASX stocks, but it is less significant and less pervasive than that observed in other markets. These results are consistent with explanations based on differences in market structure between the USA and Australia.
JEL classification: G12; G14
Document Type: Research Article
Affiliations: Finance Discipline, School of Business, University of Sydney, Australia
Publication date: November 1, 2004