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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| Main Authors: | , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2020
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| Subjects: | |
| 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 |