Abstract: In this article we develop a long-run systematic liquidity measure by augmenting the standard model with a lagged dependent variable. Our empirical application involves a large sample of Australian equities and we find pervasive evidence of long-run commonality in liquidity. We also find evidence of a mean reversion tendency for time-varying liquidity beta. This result implies that the liquidity movement in the stock market maybe more influenced by noise traders’ activity rather than informed traders' activity.
Publication Year: 2008
Publication Date: 2008-05-01
Language: en
Type: article
Indexed In: ['crossref']
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Cited By Count: 4
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