Chordia, Tarun; Shivakumar, L; Subrahmanyam, Avanidhar - Anderson Graduate School of Management, University of … - 2000
In this paper, we analyze cross-sectional heterogeneity in the time-series variation of liquidity in equity markets. Our analysis uses a broad time-series and cross-section of liquidity data. We find that average daily changes in liquidity exhibit significant heterogeneity in the cross-section;...