In this paper, we explore the link between culture, measured by collectivism, and commonality in liquidity for 51 … methodologies. We finally observe that collectivism has a stronger influence on co-movements between stock and market liquidity when … countries over the period 1985 to 2012. We provide evidence that commonality in liquidity is higher for stocks that trade in …

The studies concerning commonality in liquidity on emerging markets in Central and Eastern Europe are scarce and, in … particular, they do not utilize the Principal Component Analysis (PCA) to identify latent factors in liquidity. Therefore, the … main aim of this research is to assess commonality in liquidity on the Warsaw Stock Exchange (WSE) with the use of the PCA …

, volume, and selected liquidity measures. We find clear evidence of periodic patterns matching the trading hours of the most …