Liquidity commonality in order-driven trading: evidence from the Athens Stock Exchange

References

• Acharya, V., and L. Pedersen. 2005. “Asset Pricing with Liquidity Risk.” Journal of Financial Economics 77: 375–410. doi:10.1016/j.jfineco.2004.06.007.
   Web of Science ®Google Scholar
• Amihud, Y. 2002. “Illiquidity and Stock Returns: Cross-Section and Time-Series Effects.” Journal of Financial Markets 5: 31–56. doi:10.1016/S1386-4181(01)00024-6.
   Web of Science ®Google Scholar
• Amihud, Y., and H. Mendelson. 1986. “Asset Pricing and the Bid-Ask Spread.” Journal of Financial Economics 17: 223–249. doi:10.1016/0304-405X(86)90065-6.
   Web of Science ®Google Scholar
• Anagnostidis, P., and C. J. Emmanouilides. 2015. “Nonlinearity in High-Frequency Stock Returns: Evidence from the Athens Stock Exchange.” Physica A: Statistical Mechanics and Its Applications 421: 473–487. doi:10.1016/j.physa.2014.11.056.
   Web of Science ®Google Scholar
• Anagnostidis, P., A. Kanas, and G. Papachristou. 2015. “Information Revelation in the Greek Exchange Opening Call: Daily and Intra-Day Evidence.” Journal of International Financial Markets, Institutions and Money 38: 167–184. doi:10.1016/j.intfin.2015.05.014.
   Web of Science ®Google Scholar
• Andersen, T. G., and T. Bollerslev. 1997. “Intraday Periodicity and Volatility Persistence in Financial Markets.” Journal of Empirical Finance 4: 115–158. doi:10.1016/S0927-5398(97)00004-2.
   Google Scholar
• Biais, B., P. Hillion, and C. Spatt. 1995. “An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse.” The Journal of Finance 50: 1655–1689. doi:10.1111/j.1540-6261.1995.tb05192.x.
   Web of Science ®Google Scholar
• Biais, B., P. Hillion, and C. Spatt. 1999. “Price Discovery and Learning during the Preopening Period in the Paris Bourse.” Journal of Political Economy 107: 1218–1248. doi:10.1086/250095.
   Web of Science ®Google Scholar
• Bollerslev, T., and I. Domowitz. 1993. “Trading Patterns and Prices in the Interbank Foreign Exchange Market.” The Journal of Finance 48: 1421–1443. doi:10.1111/j.1540-6261.1993.tb04760.x.
   Web of Science ®Google Scholar
• Breusch, T. S., and A. R. Pagan. 1980. “The Lagrange Multiplier Test and Its Applications to Model Specification in Econometrics.” The Review of Economic Studies 47: 239–253. doi:10.2307/2297111.
   Web of Science ®Google Scholar
• Brockman, P., and D. Chung. 2002. “Commonality in Liquidity: Evidence from an Order-Driven Market Structure.” Journal of Financial Research 25: 521–539. doi:10.1111/jfir.2002.25.issue-4.
   Google Scholar
• Cajueiro, D. O., and B. M. Tabak. 2004. “The Hurst Exponent over Time: Testing the Assertion that Emerging Markets are Becoming More Efficient.” Physica A: Statistical Mechanics and Its Applications 336: 521–537. doi:10.1016/j.physa.2003.12.031.
   Web of Science ®Google Scholar
• Chordia, T., R. Roll, and A. Subrahmanyam. 2000. “Commonality in Liquidity.” Journal of Financial Economics 56: 3–28. doi:10.1016/S0304-405X(99)00057-4.
   Web of Science ®Google Scholar
• Chordia, T., R. Roll, and A. Subrahmanyam. 2001. “Market Liquidity and Trading Activity.” The Journal of Finance 56: 501–530. doi:10.1111/jofi.2001.56.issue-2.
   Web of Science ®Google Scholar
• Coughenour, J., and M. Saad. 2004. “Common Market Makers and Commonality in Liquidity.” Journal of Financial Economics 73: 37–69. doi:10.1016/j.jfineco.2003.05.006.
   Web of Science ®Google Scholar
• Domowitz, I., O. Hansch, and X. Wang. 2005. “Liquidity Commonality and Return Co-Movement.” Commonality and Return Co-movement, Journal of Financial Markets 8: 351–376. doi:10.1016/j.finmar.2005.06.001.
   Web of Science ®Google Scholar
• Fabre, J., and A. Frino. 2004. “Commonality in Liquidity: Evidence from the Australian Stock Exchange.” Accounting & Finance 44: 357–368. doi:10.1111/acfi.2004.44.issue-3.
   Google Scholar
• Fama, E. F., and J. D. MacBeth. 1973. “Risk, Return, and Equilibrium: Empirical Tests.” The Journal of Political Economy 81: 607–636. doi:10.1086/jpe.1973.81.issue-3.
   Web of Science ®Google Scholar
• Foran, J., M. C. Hutchinson, and N. O’Sullivan. 2015. “Liquidity Commonality and Pricing in UK Equities.” Research in International Business and Finance 34: 281–293. doi:10.1016/j.ribaf.2015.02.006.
   Web of Science ®Google Scholar
• Goodhart, C. A., and M. O’Hara. 1997. “High Frequency Data in Financial Markets: Issues and Applications.” Journal of Empirical Finance 4: 73–114. doi:10.1016/S0927-5398(97)00003-0.
   Google Scholar
• Hagströmer, B., R. G. Anderson, J. M. Binner, and B. Nilsson 2009. “Dynamics in Systematic Liquidity.” FRB of St. Louis, Working Paper No. 2009-025A. St. Louis, MO: Federal Reserve Bank of St. Louis, Research Division.
   Google Scholar
• Hasbrouck, J. 1991. “Measuring the Information Content of Stock Trades.” The Journal of Finance 46: 179–207. doi:10.1111/j.1540-6261.1991.tb03749.x.
   Web of Science ®Google Scholar
• Hasbrouck, J. 2009. “Trading Costs and Returns for US Equities: Estimating Effective Costs from Daily Data.” The Journal of Finance 64: 1445–1477. doi:10.1111/j.1540-6261.2009.01469.x.
   Web of Science ®Google Scholar
• Hasbrouck, J., and D. Seppi. 2001. “Common Factors in Prices.” Order Flows and Liquidity, Journal of Financial Economics 59: 383–411. doi:10.1016/S0304-405X(00)00091-X.
   Web of Science ®Google Scholar
• Huberman, G., and D. Halka. 2001. “Systematic Liquidity.” Journal of Financial Research 24: 161–178.
   Google Scholar
• Kalev, P. S., W.-M. Liu, P. K. Pham, and E. Jarnecic. 2004. “Public Information Arrival and Volatility of Intraday Stock Returns.” Journal of Banking & Finance 28: 1441–1467. doi:10.1016/S0378-4266(03)00126-2.
   Web of Science ®Google Scholar
• Kang, S. H., and S.-M. Yoon. 2008. “Long Memory Features in the High Frequency Data of the Korean Stock Market.” Physica A: Statistical Mechanics and Its Applications 387: 5189–5196. doi:10.1016/j.physa.2008.05.050.
   Web of Science ®Google Scholar
• Kempf, A., and D. Mayston. 2008. “Liquidity Commonality beyond Best Prices.” Journal of Financial Research 31: 25–40. doi:10.1111/jfir.2008.31.issue-1.
   Google Scholar
• McMillan, D. G., and A. E. H. Speight. 2006. “Heterogeneous Information Flows and Intra-Day Volatility Dynamics: Evidence from the UK FTSE-100 Stock Index Futures Market.” Applied Financial Economics 16: 959–972. doi:10.1080/09603100500426507.
   Google Scholar
• Newey, W. K., and K. D. West. 1994. “Automatic Lag Selection in Covariance Matrix Estimation.” The Review of Economic Studies 61: 631–653. doi:10.2307/2297912.
   Web of Science ®Google Scholar
• Pastor, L., and R. Stambaugh. 2003. “Liquidity Risk and Expected Stock Returns.” Journal of Political Economy 111: 642–685. doi:10.1086/374184.
   Web of Science ®Google Scholar
• Pesaran, M. H. 2004. “General Diagnostic Tests for Cross Section Dependence in Panels.” University of Cambridge, Faculty of Economics, Cambridge Working Papers in Economics No. 0435.
   Google Scholar
• Petersen, M. 2009. “Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches.” Review of Financial Studies 22: 435–480. doi:10.1093/rfs/hhn053.
   Web of Science ®Google Scholar
• Thompson, S. B. 2011. “Simple Formulas for Standard Errors that Cluster by Both Firm and Time.” Journal of Financial Economics 99: 1–10. doi:10.1016/j.jfineco.2010.08.016.
   Web of Science ®Google Scholar
• Wood, R. A., T. H. McInish, and J. K. Ord. 1985. “An Investigation of Transactions Data for NYSE Stocks.” The Journal of Finance 40: 723–739. doi:10.1111/j.1540-6261.1985.tb04996.x.
   Web of Science ®Google Scholar