Liquidity Commonality in the London Stock Exchange

15 Pages Posted: 1 Mar 2007

See all articles by Emilios C. Galariotis

Emilios C. Galariotis

Audencia Business School ; Audencia Nantes School of Management

Evangelos Giouvris

Durham University - Department of Economics and Finance

Abstract

A number of events such as the international market crash of October 1987 and the 1997 East Asian crisis show that individual firm liquidity is affected by market-wide factors. However, research in systematic liquidity is still at an embryonic stage and given the gap in the literature, the paper offers first time evidence (to the best of our knowledge) on the presence of systematic liquidity in the UK using FTSE100 and FTSE250 stocks. The unique setting of the London Stock Exchange as regards changes in trading regimes, allows an original answer as to whether changes in the nature of market making from obligatory to non-obligatory, affect commonality in liquidity. Results indicate that commonality is quite strong for FTSE100 stocks at individual and portfolio level, while for the FTSE250 it is strong only at portfolio level. Overall commonality is on average similar across trading regimes, irrespective of the nature of the provision of liquidity.

Suggested Citation

Galariotis, Emilios C. and Giouvris, Evangelos, Liquidity Commonality in the London Stock Exchange. Journal of Business Finance & Accounting, Vol. 34, No. 1-2, pp. 374-388, January/March 2007, Available at SSRN: https://ssrn.com/abstract=966495 or http://dx.doi.org/10.1111/j.1468-5957.2006.00664.x

Emilios C. Galariotis

Audencia Business School ( email )

8 Road Joneliere
BP 31222
Nantes Cedex 3, 44312
France

HOME PAGE: http://faculte-recherche.audencia.com/en/faculty/faculty-member-cvs/emilios-galariotis/

Audencia Nantes School of Management ( email )

France

HOME PAGE: http://faculte-recherche.audencia.com/en/faculty/faculty-member-cvs/emilios-galariotis/

Evangelos Giouvris (Contact Author)

Durham University - Department of Economics and Finance ( email )

23-26 Old Elvet
Durham DH1 3HY
United Kingdom
+44-7789-035408 (Phone)

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
13
Abstract Views
764
PlumX Metrics