Commonality in Liquidity: Evidence from the Stock Exchange of Thailand

Pacific-Basin Finance Journal, Forthcoming

Posted: 20 Jan 2009

See all articles by Kuntara Pukthuanthong

Kuntara Pukthuanthong

University of Missouri, Columbia

Nuttawat Visaltanachoti

Massey University - Department of Economics and Finance

Date Written: January, 12 2009

Abstract

This study examines commonality in liquidity of the Stock Exchange of Thailand (SET) using a limited order book data from 1996 to 2003. Strong evidence is found for market-wide commonality in liquidity, which prevails across several liquidity measurements. Industry-wide commonality is found to be stronger than market-wide commonality in liquidity. However, we do not find a market-wide correlated liquidity supply imbalance. There is evidence that indicates a fall in individual liquidity on Monday and after a day with a positive return.

Keywords: Liquidity, Commonality, Microstructure, Thailand

JEL Classification: G23, D82

Suggested Citation

Pukthuanthong, Kuntara and Visaltanachoti, Nuttawat, Commonality in Liquidity: Evidence from the Stock Exchange of Thailand (January, 12 2009). Pacific-Basin Finance Journal, Forthcoming, Available at SSRN: https://ssrn.com/abstract=1326718

Kuntara Pukthuanthong (Contact Author)

University of Missouri, Columbia ( email )

Robert J. Trulaske, Sr. College of Business
403 Cornell Hall
Columbia, MO 65211
United States
6198076124 (Phone)

HOME PAGE: http://https://kuntara.weebly.com

Nuttawat Visaltanachoti

Massey University - Department of Economics and Finance ( email )

School of Economics and Finance
Private Bag 102904, NSMC
Auckland
New Zealand
64 9 414 0800 (43169) (Phone)
64 9 441 8177 (Fax)

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