Commonality in Liquidity: Evidence from the Australian Stock Exchange

12 Pages Posted: 6 Oct 2004

See all articles by Alex Frino

Alex Frino

The University of Sydney - Discipline of Finance; Financial Research Network (FIRN)

Joel Fabre

affiliation not provided to SSRN

Abstract

Several studies have reported strong evidence of commonality in liquidity in US markets. The present study uses the research design of Chordia et al. (2000) to examine commonality in liquidity for a broad sample of stocks listed on the Australian Stock Exchange (ASX). In contrast to previous research, there is some evidence of market-wide commonality in liquidity for ASX stocks, but it is less significant and less pervasive than that observed in other markets. These results are consistent with explanations based on differences in market structure between the USA and Australia.

JEL Classification: G10, G15

Suggested Citation

Frino, Alex and Fabre, Joel, Commonality in Liquidity: Evidence from the Australian Stock Exchange. Available at SSRN: https://ssrn.com/abstract=595022

Alex Frino

The University of Sydney - Discipline of Finance ( email )

Futures Research Centre
P.O. Box H58
Sydney NSW
Australia
+61 2 9299 1809 (Phone)
+61 2 9299 1830 (Fax)

Financial Research Network (FIRN)

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

HOME PAGE: http://www.firn.org.au

Joel Fabre (Contact Author)

affiliation not provided to SSRN

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