{"title":"长期的系统性流动性","authors":"Charly Sujoto, P. Kalev, R. Faff","doi":"10.1080/17446540701591357","DOIUrl":null,"url":null,"abstract":"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.","PeriodicalId":345744,"journal":{"name":"Applied Financial Economics Letters","volume":"64 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2008-04-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"5","resultStr":"{\"title\":\"Systematic liquidity in the long run\",\"authors\":\"Charly Sujoto, P. Kalev, R. Faff\",\"doi\":\"10.1080/17446540701591357\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"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.\",\"PeriodicalId\":345744,\"journal\":{\"name\":\"Applied Financial Economics Letters\",\"volume\":\"64 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2008-04-21\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"5\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Applied Financial Economics Letters\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.1080/17446540701591357\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Applied Financial Economics Letters","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1080/17446540701591357","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
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.
求助内容：
应助结果提醒方式：
京公网安备 11010802042870号
