Specialists constantly update information based on the price movements of the stocks that trade nearby. The study argues that this process of changing quotes to reflect floor information may lead to contemporaneous co-variation in liquidity measures. The evidence indicates that individual stock...

Anomalies and stock returns have been studied thoroughly in the realm of asset pricing. This work is motivated by the lack of such studies on liquidity co-variation patterns. Earlier research documents market-wide commonality in liquidity. However, empirical work on the temporal behaviour of...