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1、JournalofFinancialEconomics56(2000)3}28qCommonalityinliquidityTarunChordia!,RichardRoll",*,AvanidharSubrahmanyam"!OwenSchoolofManagement,VanderbiltUniversity,Nashville,TN37203,USA"TheAndersonSchool,UniversityofCaliforniaLosAngeles,LosAngeles,CA90095-1481,USAReceived8August1998;
2、receivedinrevisedform27May1999AbstractTraditionallyandunderstandably,themicroscopeofmarketmicrostructurehasfocusedonattributesofsingleassets.Littletheoreticalattentionandvirtuallynoempiricalworkhasbeendevotedtocommondeterminantsofliquiditynortotheirempiricalmanifestation,correl
3、atedmovementsinliquidity.Butawider-anglelensexposesanimposingimageofcommonality.Quotedspreads,quoteddepth,ande!ectivespreadsco-movewithmarket-andindustry-wideliquidity.Aftercontrollingforwell-knownindividualliquiditydeterminants,suchasvolatility,volume,andprice,commonin#uencesr
4、emainsigni"cantandmaterial.Recognizingtheexistenceofcommonalityisakeytouncoveringsomesuggestiveevidencethatinventoryrisksandasymmetricinformationbotha!ectintertemporalchangesinliquidity.(2000ElsevierScienceS.A.Allrightsreserved.JELclassixcation:G23;D82Keywords:Liquidity;Trading
5、costs;Co-movement;MicrostructureqForcomments,suggestionsandencouragement,weareindebtedtoViralAcharya,Cli!ordBall,MichaelBrennan,WillGoetzmann,RogerHuang,CraigLewis,MikeLong,RonMasulis,PatrickPanther,GeertRouwenhorst,LakshmananShivakumar,HansStoll,andseminarparticipantsatArizona
6、,Bocconi,INSEAD,Rice,andYale.Ananonymousrefereeandtheeditor(BillSchwert)providedconstructivesuggestionsthatgreatlyimprovedthepaper.ChristophSchenzlerprovidedexpertprogrammingadvice.The"rstauthorwassupportedbytheDean'sFundforResearchandtheFinancialMarketsResearchCenteratVanderbi
7、ltUniversity.*Correspondingauthor.Tel.:#1-310-825-6118;fax:#1-310-206-8404.E-mailaddress:rroll@anderson.ucla.edu(R.Roll)0304-405X/00/$-seefrontmatter(2000ElsevierScienceS.A.Allrightsreserved.PII:S0304-405X(99)00057-44T.Chordiaetal./JournalofFinancialEconomics56(2000)3}281.Intro
8、ductionTheindividualsecurityisthetraditionaldomainofma