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Liquidity and volatility commonality in the Canadian stock market

This paper studies liquidity and volatility commonality in the Canadian stock market. We show that five various liquidity measures display strong evidence of commonality at both market-wide and industry specific levels. Our findings extend the results of previous studies in liquidity commonality, an...

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Detalles Bibliográficos
Autores principales: Gold, Nathan, Wang, Qiming, Cao, Melanie, Huang, Huaxiong
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Springer International Publishing 2017
Materias:
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC6961474/
https://www.ncbi.nlm.nih.gov/pubmed/32010414
http://dx.doi.org/10.1186/s40929-017-0016-9