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Liquidity and volatility commonality in the Canadian stock market

This paper studies liquidity and volatility commonality in the Canadian stock market. We show that five various liquidity measures display strong evidence of commonality at both market-wide and industry specific levels. Our findings extend the results of previous studies in liquidity commonality, an...

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Wedi'i Gadw mewn:
Manylion Llyfryddiaeth
Cyhoeddwyd yn:Math Ind Case Stud
Prif Awduron: Gold, Nathan, Wang, Qiming, Cao, Melanie, Huang, Huaxiong
Fformat: Artigo
Iaith:Inglês
Cyhoeddwyd: Springer International Publishing 2017
Pynciau:
Mynediad Ar-lein:https://ncbi.nlm.nih.gov/pmc/articles/PMC6961474/
https://ncbi.nlm.nih.gov/pubmed/32010414
https://ncbi.nlm.nih.govhttp://dx.doi.org/10.1186/s40929-017-0016-9
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