Liquidity commonality among Asian equity markets

Wang, J

Liquidity commonality among Asian equity markets

Wang, J

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Publication Type:: Journal Article
Citation:: Pacific Basin Finance Journal, 2013, 21 (1), pp. 1209 - 1231
Issue Date:: 2013-01-01

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Field	Value	Language
dc.contributor.author	Wang, J	en_US
dc.date.issued	2013-01-01	en_US
dc.identifier.citation	Pacific Basin Finance Journal, 2013, 21 (1), pp. 1209 - 1231	en_US
dc.identifier.issn	0927-538X	en_US
dc.identifier.uri	http://hdl.handle.net/10453/23454
dc.description.abstract	This paper examines the impact of a set of common factors on liquidity variations in twelve Asian equity markets. The cross-market liquidity co-movements, i.e. liquidity commonality, represent an important dimension of capital market integration. I find that (1) liquidity variations in Asian equity markets are increasingly driven by the common factors. By 2009 and early 2010, the common factors account for 15% of daily liquidity variations in Asian emerging markets, and for 22% in Asian developed markets. (2) Volatility as a factor for liquidity commonality is at least as important as the cross-market average liquidity. It explains 12.4% of liquidity variations in Asian developed markets after the global financial crisis. (3) Regional factors affect local market liquidity through shocks in liquidity and volatility. U.S. and U.K. factors have little direct impact on Asian emerging markets. They affect liquidity in Asian developed markets mainly through volatility. The findings shed new light on the level of market integration in Asia and associated liquidity risks. © 2012 Elsevier B.V.	en_US
dc.relation.ispartof	Pacific Basin Finance Journal	en_US
dc.relation.isbasedon	10.1016/j.pacfin.2012.06.003	en_US
dc.subject.classification	Finance	en_US
dc.title	Liquidity commonality among Asian equity markets	en_US
dc.type	Journal Article
utslib.citation.volume	1	en_US
utslib.citation.volume	21	en_US
utslib.for	1502 Banking, Finance and Investment	en_US
utslib.for	1501 Accounting, Auditing and Accountability	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
pubs.organisational-group	/University of Technology Sydney/Faculty of Business/Finance Discipline
utslib.copyright.status	closed_access
pubs.issue	1	en_US
pubs.publication-status	Published	en_US
pubs.volume	21	en_US

Abstract:

This paper examines the impact of a set of common factors on liquidity variations in twelve Asian equity markets. The cross-market liquidity co-movements, i.e. liquidity commonality, represent an important dimension of capital market integration. I find that (1) liquidity variations in Asian equity markets are increasingly driven by the common factors. By 2009 and early 2010, the common factors account for 15% of daily liquidity variations in Asian emerging markets, and for 22% in Asian developed markets. (2) Volatility as a factor for liquidity commonality is at least as important as the cross-market average liquidity. It explains 12.4% of liquidity variations in Asian developed markets after the global financial crisis. (3) Regional factors affect local market liquidity through shocks in liquidity and volatility. U.S. and U.K. factors have little direct impact on Asian emerging markets. They affect liquidity in Asian developed markets mainly through volatility. The findings shed new light on the level of market integration in Asia and associated liquidity risks. © 2012 Elsevier B.V.

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http://hdl.handle.net/10453/23454