اشتراک نقدینگی در میان بازارهای سرمایه در آسیا

This paper examines the impact of a set of common factors on liquidity variations in twelve Asian equity markets. The cross-market liquidity co-movements, i.e. liquidity commonality, represent an important dimension of capital market integration. I find that (1) liquidity variations in Asian equity markets are increasingly driven by the common factors. By 2009 and early 2010, the common factors account for 15% of daily liquidity variations in Asian emerging markets, and for 22% in Asian developed markets. (2) Volatility as a factor for liquidity commonality is at least as important as the cross-market average liquidity. It explains 12.4% of liquidity variations in Asian developed markets after the global financial crisis. (3) Regional factors affect local market liquidity through shocks in liquidity and volatility. U.S. and U.K. factors have little direct impact on Asian emerging markets. They affect liquidity in Asian developed markets mainly through volatility. The findings shed new light on the level of market integration in Asia and associated liquidity risks.

Liquidity is a key measure of market quality and a critical pre-condition for financial market growth and development. It is directly linked to investors' required returns on investments (Amihud and Mendelson, 1986), hence the cost of capital. It is a major factor affecting asset pricing efficiency (Chordia et al., 2008). Liquidity plays a central role in hedging and risk management (Das and Hanouna, 2009 and Acharya and Schaefer, 2006), and in triggering and propagating financial crises (Borio, 2004), particularly in the most recent episode (Brunnermeier, 2009 and Gorton, 2009). While traditionally liquidity is measured and analyzed for individual assets, Chordia et al. (2000), Hasbrouck and Seppi (2001), and Huberman and Halka (2001) are the first to show a common liquidity component among stocks in the United States. Chordia et al. (2000) call this common component in liquidity variations “liquidity commonality”. Huberman and Halka (2001) call it “systematic liquidity”. This finding has been confirmed in other markets.1 Subsequent studies suggest that systematic liquidity is an important determinant of an asset's expected return, e.g. Pastor and Stambaugh (2003), Acharya and Pedersen (2005), and Korajczyk and Sadka (2008). Several studies have offered explanations for cross-asset liquidity commonality, e.g. mutual fund ownership (Koch et al., 2009), funding liquidity (Brunnermeier and Pedersen, 2009), large market declines (Hameed et al., 2010), and financial liberalization (Lin, 2010). Recently Brockman et al. (2009) document within and cross-market liquidity commonality for 47 stock markets. Zhang et al. (2009) explore factors explaining within and cross-market liquidity commonality for 25 developed stock markets. Karolyi et al. (2009) document within-country co-movements in return, liquidity, and turnover in 40 stock markets. The above mentioned studies measure liquidity co-movements or commonality at the stock level, either within a country or across countries. However, global portfolio decisions are mostly made at the country or market level, not at the stock level. Global investors, economic policymakers, and market regulators tend to focus on market-wide indicators, such as liquidity and volatility, not those of individual stocks. Therefore this paper focuses on liquidity determinants at the market level, with the aim of measuring cross-market liquidity commonality. It makes three contributions to our understanding of liquidity commonality and financial market integration in Asia. First, the paper proposes a multi-factor model for measuring liquidity commonality. In the current literature, liquidity commonality is determined by a single factor, the weighted average liquidity across assets, using a model similar to the market model for stock returns. However, the theoretical model of Copeland and Galai (1983) demonstrates that liquidity is affected by a range of factors such as the price level, return variance, trading activity, and the degree of competition in liquidity supply. Recent studies cited above indicate that liquidity commonality is associated with the market-wide return, institutional ownership and funding constraints, and market-wide events such as financial liberalization. Both theory and empirical findings lead to the question whether the changes in the market average liquidity fully capture the liquidity effects of these diverse risk factors. If not, there may be other factors affecting liquidity co-movements across assets, and the current approach may under-estimate co-movements and therefore systematic liquidity risk. In the current paper, liquidity commonality is jointly determined by the cross-market average liquidity, volatility, and return. Over the sample period from January 2000 to April 2010, liquidity commonality explains around 9% of daily liquidity variations for Asian emerging markets, and around 14% of daily liquidity variations for Asian developed markets. The bull-bear market cycles do not appear to have a strong effect on liquidity commonality. Cross-market commonality based on a multi-factor model is much higher than stock-level commonality reported in Brockman et al. (2009) and Zhang et al. (2009). When measured relative to a single global average liquidity, as in previous studies, commonality explains less than 1.5% of local market liquidity. The evidence suggests that using a single-factor model severely underestimates liquidity commonality and may lead to biased results for its dynamics and risk. The second contribution of the current study is that it explores the relative contributions of different liquidity factors. Asian markets are divided into Asian developed markets and Asian emerging markets. The global markets are represented by the U.S. and the U.K. Evidence shows that factors from Asian developed markets have greater liquidity impact on local markets than factors from Asian emerging markets, while the global factors from the U.S. and the U.K. have the smallest impact. The regional and global factors affect local market liquidity through different channels. This study shows that global and regional volatilities are an important determinant of cross-market liquidity commonality. For the full sample, the average volatility is more important than the average liquidity in determining liquidity commonality for Asian developed markets. After the start of the global financial crisis, volatility is more important for both emerging and developed markets. The evidence provides strong support for a multi-factor model in measuring liquidity commonality. Last but not least, the study sheds new light on capital market integration in Asia. Compared to other regions, e.g. Europe, North or South America, Asia has more diverse economic and financial developments. Yu et al. (2010) provide a summary of the mixed evidence on financial integration in Asia. While many studies have proposed different measures for financial integration in Asia, few have explored the channel through which Asian markets are linked. The current study can be viewed as a study of market integration through liquidity. The model for liquidity dynamics is in the same spirit as the common component models for equity returns in studies of market integration; see review by Yu et al. (2010). The commonality measure is akin to market integration measures in several studies including Pukthuanthong and Roll (2009). This study shows that regional and global factors play an increasingly important role in determining local market liquidity. By 2009 and early 2010, the common factors explain 15% of liquidity variations in Asian emerging markets and 22% in Asian developed markets. Contrary to the finding that Asian financial markets are less integrated within the region and more integrated with the global markets such as the United States (Jeon et al., 2006), this study shows that factors from Asian developed markets have the greatest impact on local market liquidity in Asia. Several empirical issues are addressed in detail in this study. First, most studies of liquidity commonality use the first difference of their liquidity measures. This is criticized by Hasbrouck and Seppi (2001) for over differencing that leads to autocorrelation in residuals. This paper carries out seasonality adjustments similar to those of Chordia et al. (2005). The augmented Dickey–Fuller test supports the stationarity of the adjusted liquidity series. Second, this study shows that liquidity has long-run dependency, similar to volume and volatility. This long-run persistence has not been included in previous studies and is captured in this study by the heterogeneous autoregressive (HAR) model of Corsi (2009). Third, the sample includes major bull-bear market cycles. I use several tests to identify structural breaks and report the weighted average parameters across sub-periods. The next section explains the data, liquidity measure, and seasonality adjustments. The long memory in liquidity is tested in Section 3, which also presents the HAR model of liquidity. Section 4 discusses the liquidity factors, the extension to the HAR-Liq model, measures for liquidity commonality, and tests of parameter stability. The findings on liquidity factors and liquidity commonality for each market are discussed in Section 5 for the full sample and in sub-periods. Section 6 offers some concluding remarks.

This paper presents several new findings on the cross-market liquidity commonality among Asian stock markets: • Using a multi-factor model, the paper shows that liquidity commonality accounts for 9.4% of daily liquidity variations in Asian emerging markets and 13.7% in Asian developed markets. These percentages rise to 15% and 22% respectively in the later years of the sample period and are considerably larger than previously documented for cross-asset liquidity commonality. • Volatility as a factor for liquidity commonality is at least as important as the cross-market average liquidity. After the global financial crisis, the average volatility explains 6.8% of liquidity variations in Asian emerging markets and 12.4% in Asian developed markets. • Unlike Hameed et al. (2010), this paper shows that the bull-bear market cycles do not appear to have a strong effect on liquidity commonality. • Factors from Asian developed markets have greater liquidity impact on local markets than factors from Asian emerging markets, while the global factors from the U.S. and the U.K. have the smallest impact. • Regional and global factors affect liquidity commonality through different channels. Regional factors affect local market liquidity through shocks in liquidity and volatility. Global factors have little direct impact on Asian emerging markets. They affect liquidity in Asian developed markets through volatility. • Cross-market liquidity commonality in Asia increased significantly during and after the recent global financial crisis, mostly driven by liquidity and volatility of Asian developed markets. The large and rising liquidity commonality across regional markets has potential implications for international investors, economic policymakers, and market regulators. Liquidity cycles in different markets are likely to be more synchronized than expected, simultaneously affecting asset prices and portfolio investments in these markets. Liquidity commonality may play a role in the vanishing liquidity during market distress, which in turn may affect asset value and real economic activities. For international investors, the cross-market co-movements in liquidity and asset prices should feature prominently in their portfolio design and risk management. For policymakers and regulators, particularly in less-developed economies in our sample, recognizing liquidity as a dimension of market integration and understanding the size and the dynamics of liquidity commonality are important for market development and policy coordination; see Gochoco-Bautista and Remolona (2012). Future research should examine the reasons driving the commonality, especially the inter-regional portfolio investments from Europe and North America. It is also important to explore the potential need and mechanism for regional regulatory coordination in managing cross-market liquidity risk.