Commonality in Liquidity: A Demand-Side Explanation
研究发现股票流动性的共同性部分源于投资者（尤其是共同基金）的流动性需求相关性，高共同基金持股的股票流动性协同波动幅度是低持股股票的两倍，并利用2003年基金丑闻的外生冲击验证了因果关系。
We hypothesize that a source of commonality in a stock’s liquidity arises from the correlated liquidity demand of the stock’s investors. Focusing on correlated trading of mutual funds, we find that stocks with high mutual fund ownership have comovements in liquidity about twice as large as those for stocks with low mutual fund ownership. Further analysis shows that the channels for these comovements derive from both common ownership across funds and funds’ correlated liquidity shocks. We obtain inferences supporting causality from an exogenous flow shock for mutual funds in the aftermath of the 2003 mutual fund scandal. Received December 7, 2012; accepted October 31, 2015 by Editor David Hirshleifer.