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Commonality in Liquidity: Evidence from the Australian Stock Exchange

Alex Frino
University of Sydney - College of Humanities and Social Sciences

Joel Fabre
University of Sydney - Faculty of Economics & Business

Accounting and Finance, Vol. 44, pp. 357-368, November 2004

Abstract:
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 Classifications: G10, G15

Accepted Paper Series

Date posted: October 06, 2004 ; Last revised: June 16, 2005

Suggested Citation

Frino, Alex and Fabre, Joel Fabre, Commonality in Liquidity: Evidence from the Australian Stock Exchange. Accounting and Finance, Vol. 44, pp. 357-368, November 2004. Available at SSRN: http://ssrn.com/abstract=595022

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Contact Information

Joel Fabre (Contact Author) University of Sydney - Faculty of Economics & Business ( email ) Faculty of Economics & Business University of Sydney, NSW 2006 Australia +61290367869 (Phone) +61293516461 (Fax) HOME PAGE: http://www.econ.usyd.edu.au
Alex Frino University of Sydney - College of Humanities and Social Sciences ( email ) Futures Research Centre P.O. Box H58 Sydney NSW Australia +61 2 9299 1809 (Phone) +61 2 9299 1830 (Fax)