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A Multi-Factor Measure for Cross-Market Liquidity Commonality

dc.contributor.authorJian-Xin Wang
dc.date.accessioned2015-01-24T13:14:12Z
dc.date.available2015-01-24T13:14:12Z
dc.date.issued2010-10-01
dc.identifier.issn1655-5252
dc.identifier.urihttp://hdl.handle.net/11540/1571
dc.description.abstract"Liquidity commonality is defined as liquidity co-movements across assets or markets. In the current literature, it is measured relative to a single factor, i.e., the average liquidity across assets or markets. However, liquidity co-movements may not be fully captured by this single factor. Other factors, e.g., aggregate return and volatility, may also contribute to liquidity co-movements. Using Asian stock markets as an example, this paper shows that cross-market liquidity commonality is much higher when measured relative to a set of regional and global factors instead of the single factor. Over the sample period from January 2000 to April 2010, cross-market commonality explains around 9% of daily liquidity variations for Asian emerging markets, and around 14% of daily liquidity variations for Asian developed markets. When measured relative to the average regional liquidity, these estimates are less than 2%, similar to those in existing studies. The paper finds that regional factors affect liquidity commonality through shocks in liquidity and volatility, while global factors affect liquidity commonality through return and volatility. Cross-market liquidity commonality in Asia increased significantly during and after the recent global financial crisis."
dc.publisherAsian Development Bank
dc.titleA Multi-Factor Measure for Cross-Market Liquidity Commonality
dc.typeWorking Papers
dc.subject.expertFinancial Stability
dc.subject.expertFinancial Management System
dc.subject.expertFinancial Restructuring
dc.subject.expertCapital Market Development
dc.subject.expertErosion
dc.subject.expertMarket Development
dc.subject.expertEconomics
dc.subject.expertErosion
dc.subject.expertInternational Economics
dc.subject.adbInternational Financial Market
dc.subject.adbMultilateral Financial Institutions
dc.subject.adbEconomic Recession
dc.subject.adbMarket
dc.subject.adbCrisis
dc.subject.naturalBusiness recessions
dc.subject.naturalMultilateral development banks
dc.subject.naturalRegulatory reform
dc.subject.naturalCapital
dc.title.seriesADB economics working paper series
dc.title.volumeNo. 230
dc.contributor.imprintAsian Development Bank
oar.themeFinance
oar.themeEconomics
oar.adminregionAsia and the Pacific Region
oar.countryBangladesh
oar.countryBhutan
oar.countryIndia
oar.countryMaldives
oar.countryNepal
oar.countrySri Lanka
oar.countryBrunei Darussalam
oar.countryBrunei Darussalam
oar.countryCambodia
oar.countryIndonesia
oar.countryLao People's Democratic Republic
oar.countryMalaysia
oar.countryMyanmar
oar.countryPhilippines
oar.countrySingapore
oar.countryThailand
oar.countryViet Nam
oar.countryCook Islands
oar.countryFiji
oar.countryKiribati
oar.countryMarshall Islands
oar.countryMicronesia, Federated States of
oar.countryNauru
oar.countryPalau
oar.countryPapua New Guinea
oar.countrySamoa
oar.countrySolomon Islands
oar.countryTimor-Leste
oar.countryTonga
oar.countryTuvalu
oar.countryVanuatu
oar.countryAfghanistan
oar.countryArmenia
oar.countryAzerbaijan
oar.countryGeorgia
oar.countryKazakhstan
oar.countryKyrgyz Republic
oar.countryPakistan
oar.countryTajikistan
oar.countryTurkmenistan
oar.countryUzbekistan
oar.countryChina, People’s Republic of
oar.countryHong Kong, China
oar.countryChina, People’s Republic of
oar.countryRepublic of Korea
oar.countryMongolia
oar.countryTaipei,China
oar.identifierOAR-001260
oar.authorWang, Jian-Xin
oar.importtrue
oar.googlescholar.linkpresenttrue


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