Explaining country and cross-border liquidity commonality in international equity markets

Zheng Zhang*, Jun Cai, Stephen Y L CHEUNG

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

14 Citations (Scopus)

Abstract

Using a large cross section of intraday data from 25 developed countries, we study commonality in liquidity, both within and across international equity markets, over 15-minute intervals. Within-country and cross-border liquidity commonalities are found to be significant and, after controlling for country and industry effects, relate to such firm-specific measures as size, bid-ask spread, and the extent of analyst coverage. Additionally, within-country liquidity commonality is lower for firms with depository receipts cross listed in New York or London. Cross-border liquidity commonality is particularly high for firms with relatively high actual ownership by foreign institutions.

Original languageEnglish
Pages (from-to)630-652
Number of pages23
JournalJournal of Futures Markets
Volume29
Issue number7
DOIs
Publication statusPublished - Jul 2009

Scopus Subject Areas

  • Accounting
  • Business, Management and Accounting(all)
  • Finance
  • Economics and Econometrics

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