Intraday liquidity patterns in Indian stock market

R Krishnan, Vinod Mishra

Research output: Contribution to journalArticleResearchpeer-review

12 Citations (Scopus)

Abstract

This paper is an empirical study of the intraday liquidity patterns on the National Stock Exchange (NSE) of India. Using trade and quotes data on stocks contained in the NIFTY index, we find that most of the volume and spread related to liquidity measures are U-shaped, similar to those found in a quote driven market. Such patterns also indicate a contradictory feature of concurrent high trading volume and wide spreads, a feature that is new to an order driven market such as the NSE. Additionally, this paper also measures marketwise liquidity by checking for commonality among liquidity measures. Empirical results show that there is only weak evidence of commonality, suggesting sensitivity to commonality need not be a priced risk.
Original languageEnglish
Pages (from-to)99 - 114
Number of pages16
JournalJournal of Asian Economics
Volume28
DOIs
Publication statusPublished - 2013

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