Chuliá Soler, HelenaKoser, ChristophUribe Gil, Jorge Mario2021-03-112022-05-312020-051057-5219https://hdl.handle.net/2445/174958This study examines the dynamic linkages between commonality in liquidity in international stock markets and market volatility. Using a recently proposed liquidity measure as input in a variance decomposition exercise, we show that innovations to liquidity in most markets are induced predominately by inter-market innovations. We also find that commonality in liquidity peaks immediately after large market downturns, coinciding with periods of crisis. The results from a dynamic Granger causality test indicate that the relationship between commonality in liquidity and market volatility is bi-directional and time-varying. We show that while volatility Granger-causes commonality in liquidity throughout the entire sample period, market volatility is enhanced by commonality in liquidity only in sub-periods. Our results are helpful for practitioners and policy makers.9 p.application/pdfengcc-by-nc-nd (c) Elsevier, 2020http://creativecommons.org/licenses/by-nc-nd/3.0/esLiquiditat (Economia)Mercat financerCrisis financeresAnàlisi de variànciaLiquidity (Economics)Financial marketFinancial crisesAnalysis of varianceinfo:eu-repo/semantics/article7081142021-03-11info:eu-repo/semantics/openAccess