EXPLAINING COUNTRY AND CROSS-BORDER LIQUIDITY COMMONALITY IN INTERNATIONAL EQUITY MARKETS

Using a large cross section of intraday data from 25 developed countries, we study commonality in liquidity, both within and across international equity markets, over 15-minute intervals. Within-country and cross-border liquidity commonalities are found to be significant and, after controlling for country and industry effects, relate to such firm-specific measures as size, bid-ask spread, and the extent of analyst coverage. Additionally, within-country liquidity commonality is lower for firms with depository receipts cross listed in New York or London. Cross-border liquidity commonality is particularly high for firms with relatively high actual ownership by foreign institutions. (C) 2009 Wiley Periodicals, Inc. Jrl Fut Mark 29:630-652, 2009