Limit Order Book and Commonality in Liquidity

被引：10

作者：

Kang, Wenjin ^{[1
]}

Zhang, Huiping ^{[2
]}

机构：

[1] Natl Univ Singapore, Singapore, Singapore

[2] Shanghai Univ Finance & Econ, Sch Finance, 100 Wudong Rd, Shanghai 200433, Peoples R China

来源：

FINANCIAL REVIEW | 2013年 / 48卷 / 01期

关键词：

limit order book; commonality; liquidity;

D O I：

10.1111/j.1540-6288.2012.00348.x

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We show that the liquidity provided by an individual stock's limit order book comoves significantly with the market aggregate limit order book liquidity. Acloser look at the inside and outside liquidity provided by different parts of limit order book suggests that inside liquidity is mainly influenced by market volatility, while idiosyncratic volatility has a larger impact on outside liquidity. Hence, limit order book inside liquidity exhibits higher commonality than outside liquidity. We also show that the comovement between the stock-level and marketaggregate limit order book liquidity measures is related to the commonality in the overall stock market liquidity.

引用

页码：97 / 122

页数：26

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