This paper highlights the importance of timing specifications in empirical market microstructure studies. Small changes in the data matching process and the timing specification of economic variables can significantly alter the outcomes of empirical research. Using the methodology developed by...

This paper highlights the importance of timing specifications in empirical market microstructure studies. Small changes in the data matching process and the timing specification of economic variables can significantly alter the outcomes of empirical research. Using the methodology developed by...

"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....