Qian, Xiaolin; Tam, Lewis H.K.; Zhang, Bohui - In: Journal of Banking & Finance 45 (2014) C, pp. 304-320
In order to reconcile weak evidence of supply-side determinants of commonality in liquidity in previous studies, we … examine commonality in liquidity in China over the period 1995–2012. Consistent with supply-side explanations, we find that …-side determinants and commonality in liquidity, we provide two specific tests and show that an increase in market participants has a …