Qian, Xiaolin; Tam, Lewis H.K.; Zhang, Bohui - In: Journal of Banking & Finance 45 (2014) C, pp. 304-320
In order to reconcile weak evidence of supply-side determinants of commonality in liquidity in previous studies, we examine commonality in liquidity in China over the period 1995–2012. Consistent with supply-side explanations, we find that market declines and market volatility increase...