Why commonality persists?

• 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
• Institution: Singapore Management University

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...