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Liquidity commonality in the London Stock Exchange.

Galariotis, E. C. and Giouvris, E. (2007) 'Liquidity commonality in the London Stock Exchange.', Journal of business finance & accounting., 34 (1-2). pp. 374-388.

Abstract

A number of events such as the international market crash of October 1987 and the 1997 East Asian crisis show that individual firm liquidity is affected by market-wide factors. However, research in systematic liquidity is still at an embryonic stage and given the gap in the literature, the paper offers first time evidence (to the best of our knowledge) on the presence of systematic liquidity in the UK using FTSE100 and FTSE250 stocks. The unique setting of the London Stock Exchange as regards changes in trading regimes, allows an original answer as to whether changes in the nature of market making from obligatory to non-obligatory, affect commonality in liquidity. Results indicate that commonality is quite strong for FTSE100 stocks at individual and portfolio level, while for the FTSE250 it is strong only at portfolio level. Overall commonality is on average similar across trading regimes, irrespective of the nature of the provision of liquidity.

Item Type:Article
Keywords:Liquidity, Systematic liquidity, Common component, London Stock Exchange, Trading regimes.
Full text:Full text not available from this repository.
Publisher Web site:http://dx.doi.org/10.1111/j.1468-5957.2006.00664.x
Record Created:19 Aug 2008
Last Modified:12 Feb 2010 12:28

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