Liquidity co-movements are studied within three different market capitalization indices, each made up of 100 NYSE stocks. To condition the analysis of liquidity comovements upon index volatility, three regimes of volatility are defined using the Markov-switching methodology. Our results shows...

Liquidity co-movements are studied within three different market capitalization indices, each made up of 100 NYSE stocks. Long-run liquidity co-movements are quantified in each class and compared to short-run liquidity co-movements. To condition the analysis of systematic liquidity upon index...

French Abstract: Sur base de données relatives à 300 actions cotées sur le NYSE, nous montrons que les variations de liquidité qui affectent l’ensemble des actifs d’un portefeuille sont influencées par la capitalisation boursière de ces actifs. Nous montrons également que les crises...