Systematic liquidity in the long run

Charly Sujoto, Petko Kalev, Robert Faff*

*Corresponding author for this work

Research output: Contribution to journalArticleResearchpeer-review

3 Citations (Scopus)


In this article we develop a long-run systematic liquidity measure by augmenting the standard model with a lagged dependent variable. Our empirical application involves a large sample of Australian equities and we find pervasive evidence of long-run commonality in liquidity. We also find evidence of a mean reversion tendency for time-varying liquidity beta. This result implies that the liquidity movement in the stock market maybe more influenced by noise traders' activity rather than informed traders' activity.

Original languageEnglish
Pages (from-to)187-191
Number of pages5
JournalApplied Financial Economics Letters
Issue number3
Publication statusPublished - May 2008
Externally publishedYes


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