Grass-Root stock market investment and long-term commonality in liquidity

Renaud Beaupain, Lei Meng and Marie Marticou

A chapter in The Impact of the Global Financial Crisis on Emerging Financial Markets, 2011, pp 625-643 from Emerald Group Publishing Limited

Abstract: This chapter measures stock market liquidity with three low-frequency liquidity estimators, and investigates the long-term behaviour of commonality in liquidity on the Shanghai Stock Exchange (SSE) through principal component analyses and panel regressions. The findings provide strong evidence of liquidity co-movement on the SSE from its inception to the present. The extent of commonality in liquidity varies significantly over time. Remarkably, it surged in 2007, which corresponds to the onset of the subprime mortgage-triggered financial crisis; however, the subsequent behaviour is divergent among our different liquidity proxies.

Keywords: Commonality in liquidity; low-frequency liquidity estimators; principal component analysis; panel regression (search for similar items in EconPapers)
Date: 2011
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Persistent link: https://EconPapers.repec.org/RePEc:eme:csefzz:s1569-3759(2011)0000093023

DOI: 10.1108/S1569-3759(2011)0000093023

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