Commonality in liquidity, liquidity distribution, and financial crisis: Evidence from country ETFs

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Title:	Commonality in liquidity, liquidity distribution, and financial crisis: Evidence from country ETFs
Authors:	Lee, Hsiu-Chuan;Tseng, Yung-Ching;Yang, Chung-Jen
Keywords:	Commonality in liquidity;Liquidity distribution;Financial crisis;Funding-liquidity mechanism;Investor sentiment;Country ETFs
Date:	2014-04-05
Issue Date:	2016-04-22 13:14:56 (UTC+8)
Publisher:	ELSEVIER
Abstract:	This paper explores commonality in liquidity for country ETFs. Using data from 21 country ETFs, the empirical results present the strong commonality in liquidity among country ETFs. Furthermore, the paper shows that the magnitude of commonality in liquidity for country ETFs varies with the liquidity distribution. The empirical results also indicate that the extent of liquidity commonality for country ETFs is stronger in times of financial crisis than in non-crisis periods. Finally, the paper also finds that the impacts of supply- and demand-side effects on commonality in liquidity for country ETFs vary with liquidity distributions, and the results are consistent with the funding-liquidity mechanism and investor sentiment hypotheses.
Relation:	Pacific-Basin Finance Journal 29, pp.35–58
DOI:	10.1016/j.pacfin.2014.03.006
Appears in Collections:	[Graduate Institute & Department of Economics] Journal Article

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