We provide original results on national and global stock market liquidity and its interaction with macro-economic variables for six of the G7 economies, namely: Canada, France, Germany, Italy, Japan and UK, building on the methodology and on the US evidence by Naes et al. (2011). Using a number...

Purpose – The purpose of this paper is to test whether the 2007 identification of commonality in liquidity by Galariotis and Giouvris for the UK is robust to different methodological approaches; to find whether commonality is priced; and to identify how changes in trading regimes, hence liquidity...

A number of events such as the international market crash of October 1987 and the 1997 East Asian crisis show that individual firm liquidity is affected by market-wide factors. However, research in systematic liquidity is still at an embryonic stage and given the gap in the literature, the paper...

Amihud amp; Mendelson (1986), Eleswarapu amp; Reinganum (1993), Brennan amp; Subrahmanyam (1996), Datar et al (1998) and Amihud (2002) have argued that predictable differences in liquidity lead to cross-sectional differences in expected returns. A natural extension of this argument is that if...