Liquidity commonality is defined as liquidity co-movements across assets or markets. In the current literature, it is measured relative to a single factor, i.e., the average liquidity across assets or markets. However, liquidity co-movements may not be fully captured by this single factor. Other...

This study shows that during the FIFA World Cups, the Olympic Games, and Christmas and New Year, the average daily volatility persistence is near zero across 17 equity indices in 14 developed economies. During the World Cups, the volatility persistence decreases with proxies for the intensity of...

This study introduces a model that estimates the common and market-specific information flows when an asset is traded simultaneously in multiple markets. Cross-market return correlations are determined by a latent common information factor. The common and market-specific information flows are...