Liquidity commonality and the co-movements in trading costs related to such commonality have remarkable implications in market microstructure. Analyzing and identifying such commonality will enable the investor and policy maker to discover evidence regarding the inventory risks and asymmetric information in uencing individual securities’ liquidity. Thus, this study aims at documenting the liquidity commonality and measuring its extent in the Indian stock market. Employing fourteen liquidity measures a ributed to the cost, quantity, time, and multidimensional aspects of liquidity, it empirically proves the existence of co-movements among market-wide liquidity and the individual securities’ liquidity. The study also shows the presence of a size effect in liquidity commonality in Indian stock market. It is found that the slope coefficient indicating the interface between market-wide liquidity and individual securities’ liquidity generally increases with size.

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市场流动性通用性中的规模效应：来自印度股票市场的证据

流动性的共同性以及与这种共同性相关的交易成本的共同变动对市场微观结构具有显着影响。分析和识别这种共同性将使投资者和政策制定者能够发现有关库存风险和利用单个证券的流动性的不对称信息的证据。因此，本研究旨在记录流动性通用性并衡量其在印度股票市场中的程度。通过采用十四种衡量流动性的成本，数量，时间和多维方面的流动性度量，它从经验上证明了市场范围的流动性与单个证券的流动性之间存在共同运动。该研究还表明，在印度股票市场中，流动性共同性中存在规模效应。