Why commonality persists?

Why commonality persists?

Studies on commonality in returns, order flows and liquidity find that the first principal component is closely aligned with the market factor. With the increasing presence of high-frequency trading, commonality in returns, order flows, and liquidity can potentially arise from the commonality in the...

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Bibliographic Details
Main Authors: VELU, Raja, ZHOU, Zhaoque, TEE, Chyng Wen
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2020
Subjects:
commonality
order flow and liquidity measures
co-movement
market sentiments
investor attention
principal component analysis
canonical correlation analysis
reduced rank regression
Finance
Finance and Financial Management
Online Access:https://ink.library.smu.edu.sg/lkcsb_research/6569
https://ink.library.smu.edu.sg/context/lkcsb_research/article/7568/viewcontent/SSRN_id3536015.pdf
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Institution: Singapore Management University
Language: English

Internet

https://ink.library.smu.edu.sg/lkcsb_research/6569
https://ink.library.smu.edu.sg/context/lkcsb_research/article/7568/viewcontent/SSRN_id3536015.pdf

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