Liquidity commonality: evidence from the stock exchange of Thailand

Abstract

The thesis provides empirical evidence on the liquidity commonality of the Stock Exchange of Thailand in an extended sample period and additional perspectives on the ownership concentration effect toward the liquidity commonality. Two main empirical results are found in this thesis. First, there is some evidence of the market and industry-wide commonality in liquidity for Thai stocks, but it is less significant and less pervasive than that in other markets. Second, the firm size and index inclusion tend to have an impact toward the liquidity commonality. Small firms tend to have greater sensitivity to the market liquidity in terms of spread measures while larger firms tend to have greater sensitivity to the market liquidity in terms of depth measures. Besides, non-index inclusion firms tend to have greater sensitivity to the market-wide liquidity in terms of spread measures while index inclusion firms tend to have greater sensitivity to the market liquidity in terms of depth measures. On the other hand, this study dose not find the impact of market condition and ownership concentration toward the liquidity commonality.