Purpose

The purpose of this paper is to investigate long-run commonality in liquidity using multiple proxies computed from limited order book data of NIFTY50 stocks. The findings indicate the existence of systematic liquidity or commonality on NIFTY50 market and comprising industries.

Design/methodology/approach

The sample comprises all intraday transactions corresponding to NIFTY 50 stocks for April 2015. The study runs firm by firm time series regressions to test the concept of long-run commonality, while controlling other effects.

Findings

Strong evidence is found in support of long-run commonality across three liquidity measures. On the basis of significance (10%) of long-run commonality beta (β_LR), the strength of long-run commonality is found to be highest in natural resources and infrastructure sector. Portfolios having greater exposure to these sectors will face diversification risk to a great extent.

Practical implications

Knowledge of long-run commonality helps portfolio managers in formulating diversification strategies and reshuffling the portfolio over the period. Commonality risk being non-diversifiable is a policy concern for regulators and central bankers. Its empirical evidence will assist in managing exchange organization and thus preventing market crashes because of sudden liquidity evaporation.

Originality/value

Although there are recent studies documenting commonality in short run, little empirical work has been done on commonality in the long run and in emerging markets such as India. This research contributes to the literature by testing concept of commonality in long-run on NIFTY50 stocks using detailed transaction data from National Stock Exchange.

中文翻译：

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印度股票的长期共性：来自印度国家股票交易所的经验证据

目的

本文的目的是使用从NIFTY50股票的有限订单簿数据计算出的多个代理来研究流动性的长期共性。调查结果表明，在NIFTY50市场上，包括行业在内，存在系统性的流动性或共同性。

设计/方法/方法

该样本包含与2015年4月NIFTY 50股票相对应的所有日内交易。该研究逐个进行了牢固的时间序列回归，以检验长期通用性的概念，同时控制其他影响。

发现

发现有力的证据支持三种流动性度量标准之间的长期共性。在长期的共性β（的意义（10％）的基础上β _LR），长期共性的强度被发现是最高的自然资源和基础设施领域。涉足这些领域的投资组合将在很大程度上面临多元化风险。

实际影响

长期的共同性知识可帮助投资组合经理在此期间制定多元化战略并重组投资组合。共同性风险不可分散是监管者和中央银行家的政策关注点。它的经验证据将有助于管理交易所组织，从而防止由于突然的流动性蒸发而导致市场崩溃。

创意/价值

尽管最近有研究记录了短期内的共性，但就长期和印度等新兴市场而言，关于共性的实证研究很少。这项研究通过使用国家证券交易所的详细交易数据测试NIFTY50股票的长期共同性概念，为文献做出了贡献。