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Commonality in returns, order flows, and liquidity in the Greek stock market
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Dunne, Peter G., Moore, Michael J. and Papavassiliou, Vasileios G. (2010) Commonality in returns, order flows, and liquidity in the Greek stock market. The European Journal of Finance, Volume 17 (Number 7). pp. 577-587. doi:10.1080/1351847X.2010.505725 ISSN 1351-847X.
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Official URL: http://dx.doi.org/10.1080/1351847X.2010.505725
Abstract
Using a unique high-frequency data-set on a comprehensive sample of Greek blue-chip stocks, spanning from September 2003 through March 2006, this note assesses the extent and role of commonality in returns, order flows (OFs), and liquidity. It also formally models aggregate equity returns in terms of aggregate equity OF, in an effort to clarify OF's importance in explaining returns for the Athens Exchange market. Almost a quarter of the daily returns in the FTSE/ATHEX20 index is explained by aggregate own OF. In a second step, using principal components and canonical correlation analyses, we document substantial common movements in returns, OFs, and liquidity, both on a market-wide basis and on an individual security basis. These results emphasize that asset pricing and liquidity cannot be analyzed in isolation from each other.
Item Type: | Journal Article | ||||
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Divisions: | Faculty of Social Sciences > Warwick Business School > Finance Group Faculty of Social Sciences > Warwick Business School |
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Journal or Publication Title: | The European Journal of Finance | ||||
Publisher: | Taylor & Francis | ||||
ISSN: | 1351-847X | ||||
Official Date: | 27 September 2010 | ||||
Dates: |
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Volume: | Volume 17 | ||||
Number: | Number 7 | ||||
Number of Pages: | 10 | ||||
Page Range: | pp. 577-587 | ||||
DOI: | 10.1080/1351847X.2010.505725 | ||||
Status: | Peer Reviewed | ||||
Publication Status: | Published | ||||
Access rights to Published version: | Restricted or Subscription Access |
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