Liquidity commonality in the portuguese stock market

• Autores: José Luis Miralles Marcelo, Celia Oliveira
• Localización: XI Congreso Hispano-Italiano de Matemática Financiera y Actuarial: Badajoz, 2, 3 y 4 de julio de 2009 / coord. por José Luis Miralles Marcelo, 2009, págs. 2-26
• Idioma: inglés
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• Resumen

  • This study examines commonality in liquidity at the Euronext Lisbon Stock Exchange. We use monthly data for the period between January 1988 and December 2008 to compute some of the most used proxies for liquidity: the bid-ask spreads, the turnover rate, the proportion of zero returns and the illiquidity ratio. Following Chordia, Roll and Subrahmanyam (2000)�s methodology, we find some evidence of commonality in liquidity for the proportion of zero returns construct of liquidity. Our results also show that, for this liquidity proxy, there is a size-sorted portfolio effect.