Commonality in liquidity: An empirical examination of emerging order-driven equity and derivatives market

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dc.contributor.author Syamala, Sudhakar Reddy
dc.contributor.author Reddy, V. Nagi
dc.contributor.author Goyal, Abhinav
dc.date.accessioned 2020-01-22T15:44:41Z
dc.date.available 2020-01-22T15:44:41Z
dc.date.issued 2014-09-16
dc.identifier.citation Syamala, S. R., Reddy, V. N. and Goyal, A. (2014) 'Commonality in liquidity: An empirical examination of emerging order-driven equity and derivatives market', Journal of International Financial Markets, Institutions and Money, 33, pp. 317-334. doi: 10.1016/j.intfin.2014.09.001 en
dc.identifier.volume 33 en
dc.identifier.startpage 317 en
dc.identifier.endpage 334 en
dc.identifier.issn 1042-4431
dc.identifier.uri http://hdl.handle.net/10468/9561
dc.identifier.doi 10.1016/j.intfin.2014.09.001 en
dc.description.abstract Using a sample of actively traded stocks and options from emerging order-driven market, this study examines and provides satisfactory evidence for the existence of commonality in liquidity for both spot and derivatives market. For equities, the market- and industry-wide commonality remain strong even after controlling for market returns and individual firm volatility and for options after accounting for the underlying stock market liquidity and implied volatility. Compared to the stock market, options market exhibit an increased commonality in liquidity with market capitalization. Here, information asymmetry acts as an important microstructure related source of commonality in liquidity across markets. The findings are robust across call and put options with negligible evidence of cross-sectional error correlation for all the liquidity measures. en
dc.format.mimetype application/pdf en
dc.language.iso en en
dc.publisher Elsevier en
dc.relation.uri http://www.sciencedirect.com/science/article/pii/S1042443114001127
dc.rights © 2014 Elsevier B.V. All rights reserved. This manuscript version is made available under the CC BY-NC-ND 4.0 licence. en
dc.subject Commonality en
dc.subject Emerging order-driven market en
dc.subject Liquidity en
dc.subject Microstructure en
dc.title Commonality in liquidity: An empirical examination of emerging order-driven equity and derivatives market en
dc.type Article (peer-reviewed) en
dc.internal.authorcontactother Abhinav Goyal, Cork University Business School, University College Cork, Cork, Ireland. +353-21-490-3000 Email: abhinav.goyal@ucc.ie en
dc.internal.availability Full text available en
dc.date.updated 2020-01-22T15:40:37Z
dc.description.version Accepted Version en
dc.internal.rssid 500175793
dc.description.status Peer reviewed en
dc.identifier.journaltitle Journal of International Financial Markets Institutions & Money en
dc.internal.copyrightchecked Yes
dc.internal.licenseacceptance Yes en
dc.internal.IRISemailaddress abhinav.goyal@ucc.ie en


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