Lee, Hsiu-Chuan; Tseng, Yung-Ching; Yang, Chung-Jen - In: Pacific-Basin Finance Journal 29 (2014) C, pp. 35-58
This paper explores commonality in liquidity for country ETFs. Using data from 21 country ETFs, the empirical results … present the strong commonality in liquidity among country ETFs. Furthermore, the paper shows that the magnitude of commonality …, the paper also finds that the impacts of supply- and demand-side effects on commonality in liquidity for country ETFs vary …