Understanding commonality in liquidity around the world

Karolyi, G. Andrew; Lee, Kuan‐Hui; Dijk, Mathijs A. Van

doi:10.1016/j.jfineco.2011.12.008

Cited by 615 publications

(447 citation statements)

References 59 publications

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“…It has also been found across multiple markets (Brockman et al (2009), Zhang et al (2009). Karolyi et al (2012) suggest that commonality is driven by demand side factors more than funding liquidity drivers. Specifically, the authors find that global market liquidity is not primarily driven by financiers increasing margin requirement in times of crisis but rather investors themselves influencing liquidity based on sentiment, information acquisition incentives and correlated trading activity.…”

Section: Theory and Empirical Methodsmentioning

confidence: 99%

The asset pricing effects of UK market liquidity shocks: Evidence from tick data

Foran¹,

Hutchinson²,

O’Sullivan³

2014

International Review of Financial Analysis

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Section: Theory and Empirical Methodsmentioning

confidence: 99%

The asset pricing effects of UK market liquidity shocks: Evidence from tick data

Foran¹,

Hutchinson²,

O’Sullivan³

2014

International Review of Financial Analysis

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“…Our sample could thus be biased because (presumably) systemically riskier insurance firms are systematically omitted. 10 To rule out such a selection bias, for each of the insurance companies omitted from our sample based on either missing stock or balance-sheet data (or both), we manually check Several recent studies by, e.g., Karolyi et al (2012) and Hou et al (2011) make similar use of Datastream due to its broad and deep coverage of the global stock market.…”

Section: Sample Construction and Data Sourcesmentioning

confidence: 99%

Why do some insurers become systemically relevant?

Weiß

Mühlnickel

2014

Journal of Financial Stability

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Are some insurers relevant for the stability of the financial system? And if yes, what firm fundamentals and aspects of insurers' business models cause them to destabilize an entire financial sector? We find that several insurers did indeed contribute significantly to the instability of the U.S. financial sector during the recent financial crisis. We empirically confirm that insurers that were most exposed to systemic risk were larger, relied more heavily on non-policyholder liabilities and had higher ratios of investment income to net revenues on average. Contrary to current conjectures of insurance regulators, we find that the contribution of insurers to systemic risk is only driven by insurer size.

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“…Based on the Australian Stock Exchange, Fabre and Frino (2004) Industry-wide commonality was found to be stronger than marketwide commonality in liquidity. Recently, Karolyi et al (2012) exploited daily data of 27,447 securities from 40 developed and emerging equity markets for the period January 1995 to December 2009. They reported that the liquidity commonality was higher during periods characterized by high market volatility.…”

Section: Literature Reviewmentioning

confidence: 99%

“…After the Asian crisis in 1997-1998, the risk of liquidity evaporation in financial markets motivated financial researchers to explore systematic liquidity as a determinant of stock liquidity. Since this crisis, many researchers have revealed that commonality in liquidity is omnipresent in order-driven markets and quotedriven markets (Chordia et al, 2000;Brockman and Chung, 2002;Fabre and Frino 2004;Hasbrouck and Seppi, 2001;Huberman and Halka, 2001;Brockman et al, 2009;Karolyi et al 2012;Bruno and Shin, 2013;Lee et al, 2014;Foran el al., 2015;Tissaoui et al, 2015).…”

Section: Introductionmentioning

confidence: 99%

Liquidity commonality under normal and a boom/bust conditions: Evidence from the Saudi stock exchange

Tissaoui

2018

Int. j. adv. appl. sci.

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. Our market model regression results present evidence a strong commonality in liquidity on the Tadawul stock market. In addition, we show the existence of significant commonality in liquidity over time during normal conditions. Furthermore, this study documents also that the liquidity commonality in the Saudi stock market is stronger in boom/bust stock market conditions than in boom/bust oil market conditions. Then, our time series analysis finds that commonality in liquidity is important across all size-based quartiles. Under the boom/bust stock market condition, the first quartile for firms with a small market capitalization is the most susceptible to liquidity commonality, while the last quartile, regrouping the firms with a large market capitalization, is the least sensitive to commonality in liquidity. However, under boom/bust oil market conditions, the small market capitalization quartile is, in general, least susceptible to market-wide liquidity, while the second quartile is more sensitive to liquidity commonality.

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Understanding commonality in liquidity around the world

Cited by 615 publications

References 59 publications

The asset pricing effects of UK market liquidity shocks: Evidence from tick data

The asset pricing effects of UK market liquidity shocks: Evidence from tick data

Why do some insurers become systemically relevant?

Liquidity commonality under normal and a boom/bust conditions: Evidence from the Saudi stock exchange

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