Measuring liquidity commonality in financial markets

Li, CL; Li, BB; Tee, KH

Li, BB (corresponding author), Loughborough Univ, Sch Business & Econ, Loughborough LE11 3TU, Leics, England.

QUANTITATIVE FINANCE, 2020; 20 (9): 1553

Abstract

This paper contributes to the literature by developing a new methodology, termed the beta index, for measuring liquidity commonality in financial mark......

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