Following previous research which established that liquidity commonality exists within one stock market over a short period of time, this paper finds that liquidity commonality also exists globally. Utilising a large number of stock exchanges and a twelve year research timeframe, this paper observes that liquidity commonality exists in both developed and emerging markets. In...

The most recent global financial crisis, characterized as a liquidity crunch, began in the U.S. in late 2007 and quickly spread to other countries. The rapid propagation of the liquidity shock and the severe effects of the crisis on stock market performance have raised several important questions. Which channels contributed to the transmission of liquidity...