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liquidity commonality

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Liquidity Commonality and Return Co-Movement: This paper shows that liquidity commonality is due to co-movements in supply and demand induced by cross-sectional correlation in order types market and limit orders, while return commonality is caused by correlation in order flows order direction and size. Since return and liquidity commonality are caused by different economic forces,...; Tags: Commonality, Liquidity, Liquidity Commonality, Investment, Asset Management, Finance, Operational Planning, Business Operations; White papers 2005-03-01

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