Pukthuanthong-Le, Kuntara; Visaltanachoti, Nuttawat - In: Pacific-Basin Finance Journal 17 (2009) 1, pp. 80-99
This study examines commonality in liquidity of the Stock Exchange of Thailand (SET) using a limited order book data from 1996 to 2003. Strong evidence is found for market-wide commonality in liquidity, which prevails across several liquidity measurements. Industry-wide commonality is found to...