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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...
| Autores principales: | , , , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
Springer International Publishing
2017
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| 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 |