Narayan, Paresh Kumar; Zhang, Zhichao; Zheng, Xinwei - Deakin University, Faculty of Business and Law, School … - 2010
In this paper, we examine four specific hypotheses relating to commonality in liquidity on the Chinese stock markets … commonality in liquidity has an asymmetric effect. Based on a two-year dataset on the Shanghai and Shenzhen stock exchanges … comprising of over 34 and 48 million transactions respectively, we find strong support for commonality in liquidity and a greater …
