Measuring liquidity commonality in financial markets

This paper contributes to the literature by developing a new methodology, termed as the beta index, for measuring liquidity commonality in financial markets, that is derived from the dynamics of liquidity co-movements. We show that computing the beta index is a straightforward process. In addition,...

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Bibliographic Details
Main Authors: Chenlu Li, Baibing Li, Kai-Hong Tee
Format: Default Article
Published: 2020
Subjects:
Other economics not elsewhere classified
Commonality
Financial market
Foreign exchange
Liquidity
Economics
Online Access:https://hdl.handle.net/2134/12046455.v1
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