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:
Research
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
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author Gold, Nathan
Wang, Qiming
Cao, Melanie
Huang, Huaxiong
author_facet Gold, Nathan
Wang, Qiming
Cao, Melanie
Huang, Huaxiong
author_sort Gold, Nathan
collection PubMed
description 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, and show that even after controlling for individual determinants of liquidity such as price, volume, and volatility, liquidity commonality remains. In addition to demonstrating liquidity commonality, we also investigated the causal relationship between liquidity and volatility. Our evidence indicates that depth, proportional effective spread, and liquidity changes predict volatility changes for bid-ask spread, depth, and proportional effective spread.
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spelling pubmed-69614742020-01-29 Liquidity and volatility commonality in the Canadian stock market Gold, Nathan Wang, Qiming Cao, Melanie Huang, Huaxiong Math Ind Case Stud Research 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, and show that even after controlling for individual determinants of liquidity such as price, volume, and volatility, liquidity commonality remains. In addition to demonstrating liquidity commonality, we also investigated the causal relationship between liquidity and volatility. Our evidence indicates that depth, proportional effective spread, and liquidity changes predict volatility changes for bid-ask spread, depth, and proportional effective spread. Springer International Publishing 2017-10-11 2017 /pmc/articles/PMC6961474/ /pubmed/32010414 http://dx.doi.org/10.1186/s40929-017-0016-9 Text en © The Author(s) 2017 Open Access This article is distributed under the terms of the Creative Commons Attribution 4.0 International License (http://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution, and reproduction in any medium, provided you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license, and indicate if changes were made.
spellingShingle Research
Gold, Nathan
Wang, Qiming
Cao, Melanie
Huang, Huaxiong
Liquidity and volatility commonality in the Canadian stock market
title Liquidity and volatility commonality in the Canadian stock market
title_full Liquidity and volatility commonality in the Canadian stock market
title_fullStr Liquidity and volatility commonality in the Canadian stock market
title_full_unstemmed Liquidity and volatility commonality in the Canadian stock market
title_short Liquidity and volatility commonality in the Canadian stock market
title_sort liquidity and volatility commonality in the canadian stock market
topic Research
url 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
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AT wangqiming liquidityandvolatilitycommonalityinthecanadianstockmarket
AT caomelanie liquidityandvolatilitycommonalityinthecanadianstockmarket
AT huanghuaxiong liquidityandvolatilitycommonalityinthecanadianstockmarket

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