Commonality in Liquidity: Evidence from the Stock Exchange of Thailand
Pacific-Basin Finance Journal, Forthcoming
Posted: 20 Jan 2009
Date Written: January, 12 2009
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: Suggested Citation