Commonality in liquidity: Evidence from the Stock Exchange of Thailand

Kuntara Pukthuanthong-Le and Nuttawat Visaltanachoti ()

Pacific-Basin Finance Journal, 2009, vol. 17, issue 1, 80-99

Abstract: This study examines commonality in liquidity of the Stock Exchange of Thailand (SET) using a limited order book data from 1996 to 2003. Strong evidence is found for market-wide commonality in liquidity, which prevails across several liquidity measurements. Industry-wide commonality is found to be stronger than market-wide commonality in liquidity. However, we do not find a market-wide correlated liquidity supply imbalance. There is evidence that indicates a fall in individual liquidity on Monday and after a day with a positive return.

Keywords: Liquidity; Commonality; Microstructure; Thailand (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (17)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:pacfin:v:17:y:2009:i:1:p:80-99

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