Explaining country and cross‐border liquidity commonality in international equity markets

Zheng ZHANG, Jun CAI, Yan Leung Stephen CHEUNG

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11 Citations (Scopus)

Abstract

Using a large cross section of intraday data from 25 developed countries, we study commonality in liquidity, both within and across international equity markets, over 15‐minute intervals. Within‐country and cross‐border liquidity commonalities are found to be significant and, after controlling for country and industry effects, relate to such firm‐specific measures as size, bid–ask spread, and the extent of analyst coverage. Additionally, within‐country liquidity commonality is lower for firms with depository receipts cross listed in New York or London. Cross‐border liquidity commonality is particularly high for firms with relatively high actual ownership by foreign institutions. Copyright © 2009 Wiley Periodicals, Inc.
Original languageEnglish
Pages (from-to)630-652
JournalJournal of Futures Markets
Volume29
Issue number7
DOIs
Publication statusPublished - Jul 2009

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Cross-border
International equity markets
Liquidity commonality
Developed countries
Analyst coverage
Country studies
Intraday data
Industry effects
Cross section
Liquidity
Ownership
Commonality
Country effects

Citation

Zhang, Z., Cai, J., & Cheung, Y. L. (2009). Explaining country and cross‐border liquidity commonality in international equity markets. The Journal of Futures Markets, 29(7), 630-652. doi: 10.1002/fut.20383