Liquidity co-movements are studied within three different market capitalization indices, each made up of 100 NYSE stocks. To condition the analysis of liquidity comovements upon index volatility, three regimes of volatility are defined using the Markov-switching methodology. Our results shows...

Liquidity co-movements are studied within three different market capitalization indices, each made up of 100 NYSE stocks. Long-run liquidity co-movements are quantified in each class and compared to short-run liquidity co-movements. To condition the analysis of systematic liquidity upon index...