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- W2070706827 abstract "This study examines commonality in liquidity of the Stock Exchange of Thailand (SET) using a limited order book data from 1996 to 2003. Strong evidence is found for market-wide commonality in liquidity, which prevails across several liquidity measurements. Industry-wide commonality is found to be stronger than market-wide commonality in liquidity. However, we do not find a market-wide correlated liquidity supply imbalance. There is evidence that indicates a fall in individual liquidity on Monday and after a day with a positive return." @default.
- W2070706827 created "2016-06-24" @default.
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- W2070706827 date "2009-01-01" @default.
- W2070706827 modified "2023-10-10" @default.
- W2070706827 title "Commonality in liquidity: Evidence from the Stock Exchange of Thailand" @default.
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- W2070706827 doi "https://doi.org/10.1016/j.pacfin.2007.12.004" @default.
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