Gold Nathan, Wang Qiming, Cao Melanie, Huang Huaxiong
1Department of Mathematics and Statistics, York University, 4700 Keele St., Toronto, M3J 1P3 Canada.
2Fields Institute for Research in Mathematical Sciences, 222 College St., Toronto, M5T 3J1 Canada.
Math Ind Case Stud. 2017;8(1):7. doi: 10.1186/s40929-017-0016-9. Epub 2017 Oct 11.
This paper studies liquidity and volatility commonality in the Canadian stock market. We show that five various liquidity measures display strong evidence of commonality at both market-wide and industry specific levels. Our findings extend the results of previous studies in liquidity commonality, and show that even after controlling for individual determinants of liquidity such as price, volume, and volatility, liquidity commonality remains. In addition to demonstrating liquidity commonality, we also investigated the causal relationship between liquidity and volatility. Our evidence indicates that depth, proportional effective spread, and liquidity changes predict volatility changes for bid-ask spread, depth, and proportional effective spread.
本文研究了加拿大股票市场的流动性和波动性共性。我们发现，五种不同的流动性指标在市场整体和特定行业层面都显示出强烈的共性证据。我们的研究结果扩展了以往关于流动性共性的研究成果，并表明即使在控制了诸如价格、成交量和波动性等流动性的个体决定因素之后，流动性共性依然存在。除了证明流动性共性之外，我们还研究了流动性与波动性之间的因果关系。我们的证据表明，深度、比例有效价差和流动性变化能够预测买卖价差、深度和比例有效价差的波动性变化。
