Variations communes de liquidité au sein de portefeuilles de faible, moyenne et forte capitalisation: les enseignements des crises financières asiatique et russe (Commonalities in Liquidity within Size-Based Portfolios: What Do We Learn from the Asian and Russian Financial Crises?)

Revue Bancaire et Financière (Bank- en Financiewezen), vol. 1, 49-56, 2010

8 Pages Posted: 21 Jan 2021

See all articles by Renaud Beaupain

Renaud Beaupain

Catholic University of Lille - IESEG School of Management; Lille Economie & Management (LEM) UMR 9221

Stéphanie Dauginet

affiliation not provided to SSRN

Mikael Petitjean

Catholic University of Lille - IÉSEG School of Management, Lille Campus; Lille Economie & Management (LEM) UMR 9221; Louvain School of Management (UCL); Catholic University of Louvain (UCL) - Louvain Finance (LFIN)

Date Written: January 1, 2010

Abstract

French Abstract: Sur base de données relatives à 300 actions cotées sur le NYSE, nous montrons que les variations de liquidité qui affectent l’ensemble des actifs d’un portefeuille sont influencées par la capitalisation boursière de ces actifs. Nous montrons également que les crises financières ont, sur les variations communes de liquidité, un impact qui varie en fonction de la capitalisation boursière des actifs qui composent le portefeuille.

English Abstract: Using data for 300 stocks listed quoted on the NYSE, we show that commonalities in liquidity within a given portfolio are dependent upon the market capitalization of the stocks that are included in the portfolio. We also show that financial crises have an impact on liquidity co-movements. This impact varies with the market capitalization of the stocks included in the portfolio.

Note: Downloadable document is in French.

Keywords: commonalities, liquidity, market cap, co-movements, crises, crisis, NYSE

JEL Classification: G00, G01

Suggested Citation

Beaupain, Renaud and Dauginet, Stéphanie and Petitjean, Mikael, Variations communes de liquidité au sein de portefeuilles de faible, moyenne et forte capitalisation: les enseignements des crises financières asiatique et russe (Commonalities in Liquidity within Size-Based Portfolios: What Do We Learn from the Asian and Russian Financial Crises?) (January 1, 2010). Revue Bancaire et Financière (Bank- en Financiewezen), vol. 1, 49-56, 2010, Available at SSRN: https://ssrn.com/abstract=3769283

Renaud Beaupain

Catholic University of Lille - IESEG School of Management ( email )

3, Rue de la Digue
Lille, 59000
France

Lille Economie & Management (LEM) UMR 9221 ( email )

Lille
France

Stéphanie Dauginet

affiliation not provided to SSRN

Mikael Petitjean (Contact Author)

Catholic University of Lille - IÉSEG School of Management, Lille Campus ( email )

3 rue de la Digue
Lille, 59000
France
0032497301266 (Phone)
59000 (Fax)

Lille Economie & Management (LEM) UMR 9221 ( email )

Lille
France

Louvain School of Management (UCL) ( email )

Belgium

Catholic University of Louvain (UCL) - Louvain Finance (LFIN) ( email )

34 Voie du Roman Pays - L1.03.01
Louvain-la-Neuve, 1348
Belgium

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