Liquidity commonality on National Stock Exchange: size and sector effect

被引：0

作者：

Kumar, Suraj ^{[1
]}

Prasanna, Krishna ^{[2
]}

机构：

[1] Indian Inst Management Kashipur, Kashipur 244713, Uttarakhand, India

[2] Indian Inst Technol Madras, Dept Management Studies, Chennai, Tamil Nadu, India

来源：

APPLIED ECONOMICS LETTERS | 2021年 / 28卷 / 14期

关键词：

Order driven market; liquidity; commonality; size; sector; CROSS-SECTION; DETERMINANTS;

D O I：

10.1080/13504851.2020.1804046

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This study investigates the sources of liquidity commonality in an emerging Asian market. Specifically, the demand side and supply side factors were tested in an order-driven Indian stock market. The results indicate that growth in the industrial production and bank credit reflecting the supply side variables are found to have significant influence on liquidity commonality. However, compare to the supply side, demand side factors reflecting the trading behaviour of domestic and foreign institutional investors exhibited higher influence. Study has further extended the literature by investigating the size and sectorial effects and found heterogeneous impact on commonality.

引用

页码：1208 / 1221

页数：14

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