Hillier, D.J. and Hillier, J. and Khaw, K. (2007) Liquidity commonality and the intervalling effect. Accounting and Finance, 47 (3). pp. 495-512. ISSN 0810-5391
Full text not available in this repository. (Request a copy from the Strathclyde author)Abstract
Past studies of liquidity commonality have reported conflicting findings regarding the relationship between market liquidity and firm size. The present paper provides empirical evidence that underlying estimation problems might be responsible for these results. We develop a model of information and spreads that provides some insights into the firm size-liquidity relationship. Our empirical evidence confirms the main testable implications of the model and presents evidence that the presence and strength of common covariability in liquidity depends upon the interval over which liquidity movements are measured. These intervalling effects are caused by delays in information being incorporated into bid and ask spreads
| Item type: | Article |
|---|---|
| ID code: | 28344 |
| Keywords: | liquidity commonality, intervalling effect, information efficiency, Finance |
| Subjects: | Social Sciences > Finance |
| Department: | Strathclyde Business School > Accounting and Finance |
| Related URLs: | |
| Depositing user: | Miss Donna McDougall |
| Date Deposited: | 17 Nov 2010 13:50 |
| Last modified: | 12 Mar 2012 11:21 |
| URI: | http://strathprints.strath.ac.uk/id/eprint/28344 |
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