Commonality in liquidity: Evidence from the Stock Exchange of Thailand |
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| Authors: | Kuntara Pukthuanthong-Le Nuttawat Visaltanachoti |
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| Institution: | 1. Massey University, New Zealand;2. Department of Finance, College of Business, Administration, San Diego State University, 5500 Campanile Dr. San Diego, CA 92182, USA |
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| Abstract: | This study examines commonality in liquidity of the Stock Exchange of Thailand (SET) using a limited order book data from 1996 to 2003. Strong evidence is found for market-wide commonality in liquidity, which prevails across several liquidity measurements. Industry-wide commonality is found to be stronger than market-wide commonality in liquidity. However, we do not find a market-wide correlated liquidity supply imbalance. There is evidence that indicates a fall in individual liquidity on Monday and after a day with a positive return. |
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