Commonality in Liquidity: A Global Perspective

By P. Brockman, Dennis Chung, Christophe Pérignon. Journal of Financial and Quantitative Analysis, 2009

232 citations recorded by the source corpus.

How researchers see this paper

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The Illiquidity Premium: International Evidence (2015, unknown): “Our analysis differs from that of Brockman, Chung, and Perignon (2009) who study the commonality in global (il)liquidity level (bid-ask spread and depth), following the work by Chordia, Roll, and Subrahmanyam (2000) on liquidity commonality in the U.S. 3 Lee (2011) studies the pricing of systematic…”
Market Liquidity in the Financial Crisis: The Role of Liquidity Commonality and Flight-to-Quality (2013, background): “Overall our findings consistently show that market-wide liquidity dry-ups (induced by liquidity commonality) are related to funding liquidity tightness and therefore strongly support the theoretical concept of funding and market liquidity spirals by Brunnermeier and Pedersen (2009). Our results corr”
Understanding Commonality in Liquidity Around the World (2011, background): “However, the coefficient on market volatility is greater by a similar amount for large cap relative to small cap stocks, which is not among the predictions of Brunnermeier and Pedersen (2009) and other models of funding liquidity.”
Option Market Liquidity: Commonality and Other Characteristics (2010, unknown): “…and Chung (2002), Fabre and Frino (2004), and Zheng and Zhang (2006) showed that commonality in liquidity also exists in order-driven markets; Brockman et al. (2009) confirmed the existence of liquidity commonality for stocks on 47 exchanges around the world; finally, Domowitz et al. (2005)…”