Oil Market Factors as a Source of Commonality in Liquidity in International Equity Markets

When stock markets are less liquid or illiquid, investors expected to require compensation for taking the risk of not being able sell quickly. Many studies have documented existence co-movements (commonality) market liquidity in equity as a priced factor. The primary objective this paper is introduce oil potential source commonality liquidity. We hypothesize that conditions specific can contribute affecting both supply-side and demand-side factors because its importance global economy general. To aim, sample firms drawn from 50 countries spanning period January 1995 December 2015. examine two channels transmit effect movements international markets, namely, price returns volatility. Seemingly unrelated regressions (SUR) utilized estimate on find volatility prices explain with higher integration markets. In addition, we show more pronounced net exporters opposed importers after controlling sensitivity. These results robust possible sources found literature alternative estimation specifications.