Commonality in Returns, Order Flows, and Liquidity in the Greek Stock Market

Michael Moore, Peter Dunne, Vasileios G. Papavassiliou

Research output: Contribution to journalArticle

6 Citations (Scopus)

Abstract

Using a unique high-frequency data-set on a comprehensive sample of Greek blue-chip stocks, spanning from September 2003 through March 2006, this note assesses the extent and role of commonality in returns, order flows (OFs), and liquidity. It also formally models aggregate equity returns in terms of aggregate equity OF, in an effort to clarify OF's importance in explaining returns for the Athens Exchange market. Almost a quarter of the daily returns in the FTSE/ATHEX20 index is explained by aggregate own OF. In a second step, using principal components and canonical correlation analyses, we document substantial common movements in returns, OFs, and liquidity, both on a market-wide basis and on an individual security basis. These results emphasize that asset pricing and liquidity cannot be analyzed in isolation from each other.
Original languageEnglish
Pages (from-to)577-587
Number of pages11
JournalEuropean Journal of Finance
Volume17(7)
Issue number7
DOIs
Publication statusPublished - Jul 2011

ASJC Scopus subject areas

  • Economics, Econometrics and Finance (miscellaneous)

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