Liquidity Commonality and its Causes: Evidence from the Korean Stock Market*

被引：12
|
作者：
Choe, Hyuk [2 ]
Yang, Cheol-Won [1 ]
机构：
[1] Dankook Univ, Sch Business Adm, Yongin 448701, Gyeonggi Do, South Korea
[2] Seoul Natl Univ, Coll Business Adm, Seoul 151, South Korea
来源：
ASIA-PACIFIC JOURNAL OF FINANCIAL STUDIES | 2010年 / 39卷 / 05期
关键词：
Liquidity commonality; Information asymmetry; Volatility; Style-based trading; Investor sentiment; G11; G14; G18; LIMIT ORDER BOOK; PRICE FORMATION; INFORMATION; IMPACT; RETURN; VOLATILITY; ASYMMETRY; BEHAVIOR; ASK;
D O I：
10.1111/j.2041-6156.2010.01025.x
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
This paper investigates the causes of liquidity commonality. We consider information asymmetry, volatility, utilitarian trading interest, style-based trading, inventory cost, and investor sentiment as potential candidates. Our empirical analysis shows that greater information asymmetry causes higher liquidity commonality. The significant effect of the order imbalance beta supports our volatility hypothesis as a cause of liquidity commonality. Program trading and the KOSPI200 index dummy are positively related to liquidity commonality, which is consistent with the style-based trading hypothesis. Higher individual trading is associated with higher liquidity commonality, which means that investor sentiment operates in the Korean market. However, volume beta and return beta, as proxies for the utilitarian trading effect and the inventory cost, respectively, are insignificantly related to liquidity commonality.
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页码：626 / 658
页数：33
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