Alhassan, Abdulrahman; Naka, Atsuyuki; Noman, Abdullah - In: Journal of risk and financial management : JRFM 14 (2021) 8, pp. 1-33
not being able to sell quickly. Many studies have documented the existence of the co-movements (commonality) of market … liquidity in equity markets as a priced factor. The primary objective of this paper is to introduce the oil market as a … potential source of commonality in liquidity. We hypothesize that conditions specific to the oil market can contribute to …