Karolyi, G. Andrew; Lee, Kuan-Hui; Dijk, Mathijs A. van - In: Journal of Financial Economics 105 (2012) 1, pp. 82-112
We examine how commonality in liquidity varies across countries and over time in ways related to supply determinants (funding liquidity of financial intermediaries) and demand determinants (correlated trading behavior of international and institutional investors, incentives to trade individual...