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Gaurav Kumar

is a Post-doctoral Research Fellow at the Quinn School of Business, University College Dublin, Ireland. Gaurav is awarded Ph.D. degree from Indian Institute of Technology (IIT), Kharagpur this year. The title for his thesis is "Intraday Liquidity, Commonality and Asset Pricing: A Study of Midcap Stocks on National Stock Exchange, India". His main research areas are Financial markets and Corporate Finance.

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Gaurav Kumar: Commonality in Liquidity- New Evidence from National Stock Exchange, India

This article investigates hypothesis related to commonality in liquidity on National Stock Exchange (NSE), India using high frequency limit order book data. The empirical analysis shows that individual stock liquidity based on various spread and depth measures co-moves with market liquidity and industry liquidity. Market-wide commonality is found stronger than Industry-wide commonality on majority of the liquidity measures. The study captures the asymmetric behavior of commonality in up and down markets. Among four key sectors of the economy viz. Consumer Goods, Financial Services, Manufacturing, and Infrastructure –the strength of commonality is higher in Manufacturing sector. The study develops long run systematic liquidity measure to investigate commonality sources in long run and compares it with the short run. The results of this study can be used by traders in devising strategies, exchanges in designing trading platforms, and fund managers in engineering financial instruments.

Last modified: 2018.11.30.