Chordia, Tarun; Sarkar, Asani; Subrahmanyam, Avanidhar - Anderson Graduate School of Management, University of … - 2005
This paper explores liquidity spillovers in market-capitalization based portfolios of NYSE stocks. Return, volatility, and liquidity dynamics across the small and large cap sector are modeled by way of a vector autoregression model, using data that spans more than 3000 trading days. We find that...