Commonality in Liquidity: Evidence from an Order-Driven Market Structure

By P. Brockman, Dennis Chung. 2002

184 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/acc62546973974cd54b17b93692e81e3fc936f75

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Citations in the corpus

Commonality in Liquidity: A Global Perspective (2009, unknown): “This line of research has shown that variations in price, volume, and volatility explain much of the cross-sectional variation in bid-ask spreads (Benston and Hagerman (1974), Stoll (1978), and Barclay and Smith (1988)) and depths (Brockman and Chung (1999)).”
Understanding Commonality in Liquidity Around the World (2011, background): “See Brockman and Chung (2002) and Domowitz, Hansch, and Wang (2005) for evidence on commonality in liquidity in Hong Kong and Australia, respectively.”
Transparency and Liquidity Uncertainty in Crisis Periods (2011, background): “For example, Brockman and Chung (2002) documents cross-country commonality in liquidity and finds that exchange-level sources represent about 39 percent of total commonality in liquidity, with global sources representing an additional 19 percent.”
Option Market Liquidity: Commonality and Other Characteristics (2010, unknown): “…since each NYSE specialist firm provides liquidity for many stocks and the firm’s specialists share the same capital pool and relevant information; Brockman and Chung (2002), Fabre and Frino (2004), and Zheng and Zhang (2006) showed that commonality in liquidity also exists in order-driven…”
Commonality in Liquidity: A Demand-Side Explanation (2016, unknown): “…and Saad, 2004; Comerton-Forde, Hendershott, Jones, Moulton, and Seasholes, 2010), other studies indicate that these supply-side explanations cannot drive all of the observed commonality in liquidity (e.g., Brockman and Chung, 2002; Bauer, 2004).2 The intuition for our argument is as follows.”
Market Liquidity in the Financial Crisis: The Role of Liquidity Commonality and Flight-to-Quality (2013, methodology): “Brunnermeier and Pedersen (2009) provide an explanation for the occurrence of such liquidity spirals by linking an asset’s market liquidity, i.e. the ease with which it is traded, with traders’ funding liquidity, i.e. the ease with which they can obtain funding. They point out that market declines n”