文档介绍：Commonality in Liquidity
by
Tarun Chordia, Richard Roll, and Avanidhar Subrahmanyam
First Draft, August, 1998
Revised, March, 1999
Abstract
Traditionally and understandably, the microscope of market microstructure has focused on
attributes of single assets. Little theoretical attention and virtually no empirical work has been
devoted mon determinants of liquidity nor to their empirical manifestation, correlated
movements in liquidity. But a wider-angle lens exposes an imposing image monality.
Quoted spreads, quoted depth, and effective spreads co-move with market- and industry-wide
liquidity. After controlling for well-known individual liquidity determinants such as volatility,
volume, and price, common influences remain significant and material. Recognizing the
existence monality is a key to uncovering some suggestive evidence that inventory risks
and asymmetric information both affect intertemporal changes in liquidity.
Contacts
Chordia Roll Subrahmanyam
Voice: 1-615-322-3644 1-310-825-6118 1-310-825-5355
Fax: 1-615-343-7177 1-310-206-8404 1-310-206-5455
E-mail: tarun.******@ ******@ ******@
Address: Owen School of Management Anderson School Anderson School
Vanderbilt University UCLA UCLA
Nashville, TN 37203 Los Angeles, CA 90095-1481 Los Angeles, CA 90095-1481
Acknowledgement
For ments, suggestions and encouragement, we are indebted to Viral
Acharya, Clifford Ball, Michael Brennan, Will Goetzmann, Roger Huang, Craig Lewis, Ron
Masulis, Geert Rouwenhorst, Lakshmanan Shivakumar, and Hans Stoll, all of whom declined
to accept any responsibility for the remaining contents. We also thank seminar participants at
Arizona, oni, INSEAD, Rice, and Yale. Christoph Schenzler provided expert
programming advice. The first author was supported by the Dean’s Fund for Research and the
Financial Markets Research Center at Vanderbilt University.
I. Motivation
. The Single-Asset F