Commonalities in liquidity within size-based portfolios: What do we learn from the Asian and Russian financial crises?

Petitjean, Mikael;Beaupain, Renaud;Dauginet, Stéphanie
(2009) , 15 pages

Files

RBF_COMMO_final.pdf
  • Open Access
  • Adobe PDF
  • 919.22 KB
Download

Details

Authors
Abstract
Using data for 300 stocks listed on the NYSE, we show that commonalities in liquidity within a given portfolio are dependent upon the market capitalization of the stocks included in the portfolio. We also show that financial crises have an impact on liquidity co-movements. This impact varies with the market capitalization of the stocks included in the portfolio.
Affiliations
  • Louvain School of ManagementAccounting & Finance
  • FUCaMSciences de gestion
  • IESEG School of ManagementFinance

Citations

  • APA
  • Chicago
  • FWB

Petitjean, M., Beaupain, R., & Dauginet, S. (2009). Commonalities in liquidity within size-based portfolios: What do we learn from the Asian and Russian financial crises? https://hdl.handle.net/2078.5/251014