Zhang, Zheng; Cai, Jun; Cheung, Yan Leung - In: Journal of Futures Markets 29 (2009) 7, pp. 630-652
Using a large cross section of intraday data from 25 developed countries, we study commonality in liquidity, both within and across international equity markets, over 15‐minute intervals. Within‐country and cross‐border liquidity commonalities are found to be significant and, after...