Commonality in Liquidity : A Demand-Side Explanation


Koch, Andrew ; Ruenzi, Stefan ; Starks, Laura T.



URL: https://www.wiwi.hu-berlin.de/de/professuren/bwl/c...
Additional URL: http://dx.doi.org/10.2139/ssrn.1364124
Document Type: Working paper
Year of publication: 2012
Place of publication: Mannheim
Publication language: English
Institution: Business School > Internat. Finanzierung (Ruenzi)
Subject: 330 Economics
Abstract: We hypothesize that a source of commonality in a stock's liquidity arises from correlated trading among the stock's investors. In support of this hypothesis, we find that stocks with high mutual fund ownership have comovements in liquidity that are about twice as large as those for stocks with low mutual fund ownership. We also find that stocks owned by mutual funds with higher turnover and those owned by mutual funds that experience liquidity shocks themselves have higher commonality in liquidity. These results suggest an important role for the demand side of liquidity in explaining commonality.

Dieser Eintrag ist Teil der Universitätsbibliographie.




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