 Liquidity commonality among Asian equity marketsPacific-Basin Finance Journal, 2013, vol. 21, issue 1, 1209-1231 Abstract: This paper examines the impact of a set of common factors on liquidity variations in twelve Asian equity markets. The cross-market liquidity co-movements, i.e. liquidity commonality, represent an important dimension of capital market integration. I find that (1) liquidity variations in Asian equity markets are increasingly driven by the common factors. By 2009 and early 2010, the common factors account for 15% of daily liquidity variations in Asian emerging markets, and for 22% in Asian developed markets. (2) Volatility as a factor for liquidity commonality is at least as important as the cross-market average liquidity. It explains 12.4% of liquidity variations in Asian developed markets after the global financial crisis. (3) Regional factors affect local market liquidity through shocks in liquidity and volatility. U.S. and U.K. factors have little direct impact on Asian emerging markets. They affect liquidity in Asian developed markets mainly through volatility. The findings shed new light on the level of market integration in Asia and associated liquidity risks. Keywords: Liquidity; Liquidity commonality; Liquidity factors; Market volatility; Asian stock markets; Market integration (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:pacfin:v:21:y:2013:i:1:p:1209-1231 DOI: 10.1016/j.pacfin.2012.06.003 Access Statistics for this article Pacific-Basin Finance Journal is currently edited by K. Chan and S. Ghon Rhee More articles in Pacific-Basin Finance Journal from Elsevier |
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