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

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dc.contributor.authorSyamala, Sudhakar Reddy
dc.contributor.authorReddy, V. Nagi
dc.contributor.authorGoyal, Abhinav
dc.date.accessioned2020-01-22T15:44:41Z
dc.date.available2020-01-22T15:44:41Z
dc.date.issued2014-09-16
dc.date.updated2020-01-22T15:40:37Z
dc.description.abstractUsing 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.description.statusPeer revieweden
dc.description.versionAccepted Versionen
dc.format.mimetypeapplication/pdfen
dc.identifier.citationSyamala, 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.2014.09.001en
dc.identifier.doi10.1016/j.intfin.2014.09.001en
dc.identifier.endpage334en
dc.identifier.issn1042-4431
dc.identifier.journaltitleJournal of International Financial Markets Institutions & Moneyen
dc.identifier.startpage317en
dc.identifier.urihttps://hdl.handle.net/10468/9561
dc.identifier.volume33en
dc.language.isoenen
dc.publisherElsevieren
dc.relation.urihttp://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.subjectCommonalityen
dc.subjectEmerging order-driven marketen
dc.subjectLiquidityen
dc.subjectMicrostructureen
dc.titleCommonality in liquidity: An empirical examination of emerging order-driven equity and derivatives marketen
dc.typeArticle (peer-reviewed)en
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