Size Effect in Market-wide Liquidity Commonality: Evidence from the Indian Stock Market
Liquidity commonality and the co-movements in trading costs related to such commonality have remarkable implications in market microstructure. Analyzing and identifying such commonality will enable the investor and policy maker to discover evidence regarding the inventory risks and asymmetric...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Vilnius University Press
2019-12-01
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| Series: | Organizations and Markets in Emerging Economies |
| Subjects: | |
| Online Access: | https://www.journals.vu.lt/omee/article/view/15537 |