Global Commonality in Liquidity
33 Pages Posted: 5 Nov 2014 Last revised: 24 May 2015
Date Written: October 31, 2014
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: Suggested Citation