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Open Access research with a European policy impact...

The Strathprints institutional repository is a digital archive of University of Strathclyde's Open Access research outputs. Strathprints provides access to thousands of Open Access research papers by Strathclyde researchers, including by researchers from the European Policies Research Centre (EPRC).

EPRC is a leading institute in Europe for comparative research on public policy, with a particular focus on regional development policies. Spanning 30 European countries, EPRC research programmes have a strong emphasis on applied research and knowledge exchange, including the provision of policy advice to EU institutions and national and sub-national government authorities throughout Europe.

Explore research outputs by the European Policies Research Centre...

Liquidity commonality and the intervalling effect

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

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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