This study examines the behavior of financial contagion within the New Zealand stock market. The degree of financial contagion is measured by the coincidence of extreme stock returns. The extent of the effect and its economic significance are examined using the multinomial regression. The...

We examine liquidity commonality in commodity futures markets. Using data from 16 agricultural, energy, industrial metal, precious metal, and livestock commodities, we show there is a strong systematic liquidity factor in commodities. Liquidity commonality was present in 1997 - 2003 when...