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Intraday liquidity patterns in Indian stock market

R. Krishnan and Vinod Mishra

Journal of Asian Economics, 2013, vol. 28, issue C, 99-114

Abstract: This paper is an empirical study of the intraday liquidity patterns on the National Stock Exchange (NSE) of India. Using trade and quotes data on stocks contained in the NIFTY index, we find that most of the volume and spread related to liquidity measures are U-shaped, similar to those found in a quote driven market. Such patterns also indicate a contradictory feature of concurrent high trading volume and wide spreads, a feature that is new to an order driven market such as the NSE. Additionally, this paper also measures marketwise liquidity by checking for commonality among liquidity measures. Empirical results show that there is only weak evidence of commonality, suggesting sensitivity to commonality need not be a priced risk.

Keywords: Liquidity; Intraday data; Commonality; NSE; India (search for similar items in EconPapers)
JEL-codes: G15 (search for similar items in EconPapers)
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (11)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:asieco:v:28:y:2013:i:c:p:99-114

DOI: 10.1016/j.asieco.2013.05.005

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