Liquidity and volatility commonality in the Canadian stock market
نویسندگان
چکیده
منابع مشابه
Liquidity and volatility commonality in the Canadian Stock Market
This paper studies liquidity and volatility commonality in the Canadian stock market. We show that five various liquidity measures display strong evidence of commonality at both market-wide and industry specific levels. Our findings extend the results of previous studies in liquidity commonality, and show that even after controlling for individual determinants of liquidity such as price, volume...
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ژورنال
عنوان ژورنال: Mathematics-in-Industry Case Studies
سال: 2017
ISSN: 1913-4967
DOI: 10.1186/s40929-017-0016-9