Chordia, Tarun; Shivakumar, Lakshmanan; Subrahmanyam, … - In: Economic Notes 33 (2004) 1, pp. 111-143
In this paper, we analyse 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;...
