Commonalities in Liquidity Within Size-based Portfolios: What Do We Learn from the Asian and Russian Financial Crises?

Article, Research French OPEN
Petitjean, Mikael; Beaupain, Renaud; Dauginet, Stéphanie;
  • Publisher: Larcier
  • Subject: Crises | Crisis | Russian | Portfolios | Asian | Liquidity | Risque de liquidité | Communes | 4391 | Size | Variations | Commonalities | Asiatique | Russe | HG

Using data for 300 stocks listed quoted on the NYSE, we show that commonalities in liquidity within a given portfolio are dependent upon the market capitalization of the stocks that are included in the portfolio. We also show that financial crises have an impact on l... View more