Please use this identifier to cite or link to this item: https://scholarbank.nus.edu.sg/handle/10635/13357
DC FieldValue
dc.titleLiquidity and commonality in emerging markets
dc.contributor.authorQIN YAFENG
dc.date.accessioned2010-04-08T10:32:18Z
dc.date.available2010-04-08T10:32:18Z
dc.date.issued2007-09-12
dc.identifier.citationQIN YAFENG (2007-09-12). Liquidity and commonality in emerging markets. ScholarBank@NUS Repository.
dc.identifier.urihttp://scholarbank.nus.edu.sg/handle/10635/13357
dc.description.abstractThis study investigates the extent to which liquidity of emerging market stocks co-moves with each other, and tries to explore the underlying mechanism that drives commonality in liquidity. The empirical results show that in emerging markets, commonality in liquidity is significantly higher than that in developed markets, and individual stock liquidity is more affected by fluctuations in market prices than by fluctuations in individual stock prices, suggesting that higher commonality in liquidity in emerging markets could be caused by higher co-variation in stock volatility and inventory risk. Consistent with this conjecture, commonality in liquidity is found to be positively related to co-movement in volatility. These findings reinforce the idea that liquidity commonality is related to market-wide factor. The study also documents that liquidity co-movement across emerging markets has a strong geographic component. The initial results do not support the presence of a global liquidity factor.
dc.language.isoen
dc.subjectLiquidity, Commonality in Liquidity, Liquidity Risk, Emerging Markets, Liberalization
dc.typeThesis
dc.contributor.departmentFINANCE
dc.contributor.supervisorALLAUDEEN S/O S HAMEED
dc.description.degreePh.D
dc.description.degreeconferredDOCTOR OF PHILOSOPHY
dc.identifier.isiutNOT_IN_WOS
Appears in Collections:Ph.D Theses (Open)

Show simple item record
Files in This Item:
File Description SizeFormatAccess SettingsVersion 
Doctoral Thesis_Qin Yafeng2007.pdf321.42 kBAdobe PDF

OPEN

NoneView/Download

Page view(s)

396
checked on May 22, 2019

Download(s)

299
checked on May 22, 2019

Google ScholarTM

Check


Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.