Time: 3pm-5pm, Sep. 3rd, 2011

Location: CEEP

Title: Trades by Investors and Liquidity Commonality in the Taiwan Stock Market

About Speaker:

Applying order-level data and reconstructing the limit order book, this paper confirms the existence of liquidity commonality in the Taiwan Stock Exchange. Specifically, first, large stocks are more sensitive than small stocks to market-wide liquidity variations. Second, the further the price away from the best quotes, the stronger liquidity commonality. Third, commonality rises when market falls or becomes more volatile. Fourth, the order-imbalance comovement is mainly driven by individual investors. Finally, individual investors’ correlated order submission behavior is the driving force of liquidity commonality, and opposite to that of foreign investors, which offsets part of the impacts on liquidity commonality.