Size effect in market-wide liquidity commonality: Evidence from the indian stock market

Title

Size effect in market-wide liquidity commonality: Evidence from the indian stock market

Creator

Cheriyan N.K.; Lazar D.

Description

Liquidity commonality and the co-movements in trading costs related to such commonality have remarkable implications in market microstructure. Analyzing and identifying such commonality will enable the investor and policy maker to discover evidence regarding the inventory risks and asymmetric information influencing individual securities' liquidity. Thus, this study aims at documenting the liquidity commonality and measuring its extent in the Indian stock market. Employing fourteen liquidity measures attributed to the cost, quantity, time, and multidimensional aspects of liquidity, it empirically proves the existence of co-movements among market-wide liquidity and the individual securities' liquidity. The study also shows the presence of a size effect in liquidity commonality in Indian stock market. It is found that the slope coefficient indicating the interface between market-wide liquidity and individual securities' liquidity generally increases with size. Copyright 2019 Namitha K. Cheriyan, Daniel Lazar.

Source

Organizations and Markets in Emerging Economies, Vol-10, No. 2, pp. 335-355.

Date

2019-01-01

Publisher

Vilnius University

Subject

Commonality in liquidity; Liquidity; Liquidity measures; NIFTY 50

Coverage

Cheriyan N.K., Department of Commerce, CHRIST (Deemed to be University), Bangalore, India; Lazar D., Department of Commerce, Pondicherry University, India

Rights

All Open Access; Gold Open Access

Relation

ISSN: 20294581

Format

Online

Language

English

Type

Article

Identifier

https://doi.org/10.15388/omee.2019.10.17

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