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- W2095120084 abstract "Microstructure literature suggests common factors in liquidity measures. However, research on the intraday behaviour of liquidity commonality is scant. Because of higher information and inventory holding costs during the first and last half-hours of trading, we argue that liquidity covariations should increase during these half-hour trading periods. Our results from NYSE intraday data support a U-shaped pattern for liquidity covariation. These results have important implications for regulators, investors and academics." @default.
- W2095120084 created "2016-06-24" @default.
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- W2095120084 date "2007-07-01" @default.
- W2095120084 modified "2023-09-26" @default.
- W2095120084 title "Intraday pattern in liquidity covariation: evidence from NYSE listed firms" @default.
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- W2095120084 doi "https://doi.org/10.1080/09603100600675532" @default.
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