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Commonality in liquidity: Evidence from the Australian Stock Exchange

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  • Joel Fabre
  • Alex Frino

Abstract

Several studies have reported strong evidence of commonality in liquidity in US markets. The present study uses the research design of Chordia et al. (2000) to examine commonality in liquidity for a broad sample of stocks listed on the Australian Stock Exchange (ASX). In contrast to previous research, there is some evidence of market‐wide commonality in liquidity for ASX stocks, but it is less significant and less pervasive than that observed in other markets. These results are consistent with explanations based on differences in market structure between the USA and Australia.

Suggested Citation

  • Joel Fabre & Alex Frino, 2004. "Commonality in liquidity: Evidence from the Australian Stock Exchange," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 44(3), pages 357-368, November.
    • Handle: RePEc:bla:acctfi:v:44:y:2004:i:3:p:357-368
    DOI: 10.1111/j.1467-629x.2004.00117.x
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    References listed on IDEAS

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    1. Sylvain Friederich & Richard Payne, 2007. "Dealer Liquidity in an Auction Market: Evidence from the London Stock Exchange," Economic Journal, Royal Economic Society, vol. 117(522), pages 1168-1191, July.
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