English, Article edition: Systematic liquidity in the long run Charly Sujoto; Petko Kalev; Robert Faff

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Bookmark: http://trove.nla.gov.au/version/50635
Physical Description
  • article
Language
  • English

Edition details

Title
  • Systematic liquidity in the long run
Author
  • Charly Sujoto
  • Petko Kalev
  • Robert Faff
Physical Description
  • article
Notes
  • In this article we develop a long-run systematic liquidity measure by augmenting the standard model with a lagged dependent variable. Our empirical application involves a large sample of Australian equities and we find pervasive evidence of long-run commonality in liquidity. We also find evidence of a mean reversion tendency for time-varying liquidity beta. This result implies that the liquidity movement in the stock market maybe more influenced by noise traders' activity rather than informed traders' activity.
  • RePEc:taf:apfelt:v:4:y:2008:i:3:p:187-191
Language
  • English
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