Commonality in Liquidity: A Global Perspective
利用47个股票交易所的日内价差和深度数据，研究发现公司层面流动性变化显著受交易所层面影响，新兴亚洲交易所共性最强，拉丁美洲最弱；交易所层面共性占公司总共性的39%，全球层面贡献19%，且受国内外宏观经济公告驱动。
Abstract We conduct a comprehensive study of commonality in liquidity using intraday spread and depth data from 47 stock exchanges. We find that firm-level changes in liquidity are significantly influenced by exchange-level changes across most of the world’s stock exchanges. Emerging Asian exchanges have exceptionally strong commonality, while those of Latin America exhibit little if any commonality. After documenting the pervasive role of commonality within individual exchanges, we examine commonality across exchanges. We find evidence of a distinct, global component in bid-ask spreads and depths. Local (exchange-level) sources of commonality represent roughly 39% of the firm’s total commonality in liquidity, while global sources contribute an additional 19%. We also investigate potential sources of exchange-level and global commonality. We show that commonality is driven by both domestic and U.S. macroeconomic announcements.