Size Effect in Market-wide Liquidity Commonality: Evidence from the Indian Stock Market
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 inform...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
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Vilnius University Press
2019-12-01
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| Series: | Organizations and Markets in Emerging Economies |
| Subjects: | |
| Online Access: | https://www.journals.vu.lt/omee/article/view/15537 |
| _version_ | 1811245076101201920 |
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| author | Namitha K. Cheriyan Daniel Lazar |
| author_facet | Namitha K. Cheriyan Daniel Lazar |
| author_sort | Namitha K. Cheriyan |
| collection | DOAJ |
| 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 in uencing 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 a ributed 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. |
| first_indexed | 2024-04-12T14:35:46Z |
| format | Article |
| id | doaj.art-f58ce6e61013455bb0a0c109d68457cb |
| institution | Directory Open Access Journal |
| issn | 2029-4581 2345-0037 |
| language | English |
| last_indexed | 2024-04-12T14:35:46Z |
| publishDate | 2019-12-01 |
| publisher | Vilnius University Press |
| record_format | Article |
| series | Organizations and Markets in Emerging Economies |
| spelling | doaj.art-f58ce6e61013455bb0a0c109d68457cb2022-12-22T03:29:07ZengVilnius University PressOrganizations and Markets in Emerging Economies2029-45812345-00372019-12-0110210.15388/omee.2019.10.17Size Effect in Market-wide Liquidity Commonality: Evidence from the Indian Stock MarketNamitha K. Cheriyan0Daniel Lazar1Department of Commerce, CHRISTPondicherry UniversityLiquidity 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 in uencing 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 a ributed 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.https://www.journals.vu.lt/omee/article/view/15537liquidityommonality in liquidityNIFTY 50liquidity measures |
| spellingShingle | Namitha K. Cheriyan Daniel Lazar Size Effect in Market-wide Liquidity Commonality: Evidence from the Indian Stock Market Organizations and Markets in Emerging Economies liquidity ommonality in liquidity NIFTY 50 liquidity measures |
| title | Size Effect in Market-wide Liquidity Commonality: Evidence from the Indian Stock Market |
| title_full | Size Effect in Market-wide Liquidity Commonality: Evidence from the Indian Stock Market |
| title_fullStr | Size Effect in Market-wide Liquidity Commonality: Evidence from the Indian Stock Market |
| title_full_unstemmed | Size Effect in Market-wide Liquidity Commonality: Evidence from the Indian Stock Market |
| title_short | Size Effect in Market-wide Liquidity Commonality: Evidence from the Indian Stock Market |
| title_sort | size effect in market wide liquidity commonality evidence from the indian stock market |
| topic | liquidity ommonality in liquidity NIFTY 50 liquidity measures |
| url | https://www.journals.vu.lt/omee/article/view/15537 |
| work_keys_str_mv | AT namithakcheriyan sizeeffectinmarketwideliquiditycommonalityevidencefromtheindianstockmarket AT daniellazar sizeeffectinmarketwideliquiditycommonalityevidencefromtheindianstockmarket |