Global Commonality in Liquidity

33 Pages Posted: 5 Nov 2014 Last revised: 24 May 2015

See all articles by Fariborz Moshirian

Fariborz Moshirian

Institute of Global Finance, UNSW Business School

Avanidhar Subrahmanyam

University of California, Los Angeles (UCLA) - Finance Area; Institute of Global Finance, UNSW Business School; Financial Research Network (FIRN)

Claudia Koon Ghee Wee

University of New South Wales (UNSW) - Australian School of Business, Banking & Finance

Bohui Zhang

The Chinese University of Hong Kong, Shenzhen

Date Written: October 31, 2014

Abstract

Following previous research which established that liquidity commonality exists within one stock market over a short period of time, this paper finds that liquidity commonality also exists globally. Utilising a large number of stock exchanges and a twelve year research time frame, this paper observes that liquidity commonality exists in both developed and emerging markets. In particular, liquidity commonality is higher in emerging markets compared to developed markets and is weaker in areas where there is strong financial market integration. Results show that by region, Asia has the highest liquidity commonality whereas North America has the lowest. Furthermore, the five countries with the highest liquidity commonality are all emerging markets: China, Turkey, Taiwan, India and Korea.

Keywords: Global Financial Stability, Liquidity Risk and Liquidity Management

JEL Classification: G12, G15, G2, G29

Suggested Citation

Moshirian, Fariborz and Subrahmanyam, Avanidhar and Wee, Claudia Koon Ghee and Zhang, Bohui, Global Commonality in Liquidity (October 31, 2014). CIFR Paper No. 045/2014. Available at SSRN: https://ssrn.com/abstract=2518701 or http://dx.doi.org/10.2139/ssrn.2518701

Fariborz Moshirian (Contact Author)

Institute of Global Finance, UNSW Business School ( email )

Sydney, NSW 2052
Australia
+61 2 93855859 (Phone)
+61 2 94877519 (Fax)

Avanidhar Subrahmanyam

University of California, Los Angeles (UCLA) - Finance Area ( email )

Los Angeles, CA 90095-1481
United States
310-825-5355 (Phone)
310-206-5455 (Fax)

Institute of Global Finance, UNSW Business School

Sydney, NSW 2052
Australia

Financial Research Network (FIRN)

C/- University of Queensland Business School
St Lucia, 4071 Brisbane
Queensland
Australia

Claudia Koon Ghee Wee

University of New South Wales (UNSW) - Australian School of Business, Banking & Finance ( email )

Sydney, NSW 2052
Australia

Bohui Zhang

The Chinese University of Hong Kong, Shenzhen ( email )

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