Stock Market Liquidity and Country Fundamentals

Stock Market Liquidity and Country FundamentalsSer-Huang PoonMichael RockingerKonstantinos Stathopoulos

Risk Management Consideration

Amihud (2002)Illiquid if price impact is high:

What drives liquidity (in different countries)?Country fundamentalsComputer technology, automated tradingLiquidity funding management and territory of operationRisk regulations and territorial divide

Liquidity Black HoleLiquidity dries up during sell-off and asset can be sold only at a fire-sale price (price decline scenario).Computer models used by different traders are similar.Financial institutions are regulated in the same way and respond the same way to changes in volatility and correlation.HerdingLiquidity funding management

Amihuds emailVolatility of economic variablesLegal variablesCountry economic variables

Legal VariablesLegal originFinancial regulationInsider trading and other lawsEnforcement variables

Volatility of Economic VariablesVolatility of industrial production or other index of economic activityVolatility of monetary variables Various definition of moneyInterest rate

Country Economic VariablesPer capita income, growth, new investment, new firmsInvestment by individuals (India, China)Institutions activity (% managed by funds)Market cap compared to economyMeasure of float(???), in some countries, the market float is large but the float is small.

Capital Market GovernanceDaouk, Lee and Ng (2006, JCF)CMG indexEarnings opacityEnforcement of insider laws, Removal of short selling restrictionsPerformanceLow cost of equityHigh liquidityEfficient pricing

Capital Market GovernanceDaouk, Lee and Ng (2006, JCF)32 countries; Not focus on crisisGood governance => good performance => liquidityNot focus on crisis

Sample: 37 Stock Markets 1996-2007

Illiquidity Measure 1

Chart1

0.3357

0.7532

0.9325

1.2291

1.3578

1.7088

1.7805

1.9112

2.3356

2.3515

2.3693

2.4804

2.5648

2.5656

2.739

3.1268

3.3423

3.5067

3.7073

3.8993

4.0918

4.1401

4.4169

4.5983

4.7204

6.3266

6.5011

7.2317

7.838

8.631

9.1108

9.3648

10.8968

13.0686

16.7295

31.2996

34.7628

IL

Daouk

Countries1IL1IL2IL3EarnOpacCMGidxCostofEquityExpectedRetVol/CapMktDepthVolatilitySyncronicityUS/MktCapIPOretShortSellPutInsiderEnforceDaoukIL1IL2IL3

Australia4.4172.9690.7386.315.620.1120.1140.040.740.050.06-1.470.12196919821996MktDepth0.2350.200-0.245

Austria4.7201.2810.4085.314.770.1540.0870.040.880.050.090.840.0619691991NoCost of Equity0.0010.035-0.209

Belgium10.8974.1620.7296.596.220.1130.0930.010.320.040.15-1.980.15196919921994CMG Index0.2850.388-0.198

Chile13.0693.3310.482450.0470.0770.010.210.050.21-2.10.09No19941996US/MktCap-0.049-0.011-0.138

Denmark3.7072.5870.3105.645.480.1390.0940.020.450.040.07-1.490.05196919901996Vol/Cap0.0780.082-0.105

Finland2.7391.5320.8295.726.090.0940.1130.14-0.720.1No19881993EarnOpac0.2860.370-0.023

France34.7635.5310.6996.368.450.1420.1130.030.750.050.07-1.130.12196919871975Expected Ret-0.0180.1110.063

Germany8.6312.6160.4735.545.620.1010.1020.143.570.050.11-1.770.28196919901995IPO return-0.528-0.4370.092

HK4.5982.6400.59953.830.1640.1260.040.620.070.15-2.240.17199419931994Syncronicity-0.225-0.2090.135

India1.2290.9710.7133.950.980.1150.0760.030.580.060.19-2.370.35NoNoNoVolatility-0.274-0.2060.247

Italy1.3581.0570.5424.414.980.1080.1050.030.450.060.18-1.220.22196919951996

Japan9.3652.9940.7244.056.40.0570.120.030.540.060.23-2.520.28196919891990

Korea3.8992.2120.6933.474.49-0.0920.0890.060.720.120.17-1.710.74No19971988

Malaysia1.9110.9260.7884.461.92-0.0050.1150.020.290.070.43-1.771.041996No1996

Mexico4.0923.0240.3736.525.170.0050.1060.040.640.080.29-0.650.331969NoNo

Norway4.1403.5290.67876.850.120.1110.040.860.060.12-0.960.13No19901990IL1IL2IL3US/MktCapIPOret

Portugal9.1112.0930.77975.330.0720.0960.030.660.040.07-1.330.111986NoNoIL11

Singapore1.7091.4200.1534.897.960.0640.1150.020.410.050.19-1.980.3196919931978IL20.85641025641

SouthAfrica0.7530.5740.9044.744.580.0910.1110.020.370.060.2-2.20.3319691992NoIL3-0.1822222222-0.29641025641

Sweden0.3360.2660.7765.596.40.1510.1050.030.610.060.14-0.940.31199319871990US/MktCap-0.0486590926-0.0112290214-0.13849126361

Switzerland2.3691.5610.2615.595.630.150.1060.041.070.05-1.250.35196919881995IPOret-0.5280464739-0.43717015760.0922532301-0.33475678041

Taiwan7.8382.5990.6874.897.960.0310.0930.141.920.080.41-3.360.311980No1989

Thailand2.3520.9680.7525.293.81-0.1010.0820.040.550.090.27-2.430.47NoNo1993

Turkey2.5651.5950.7784.784.040.0830.080.070.60.140.39-1.450.131995No1996

UK2.5661.7640.7055.928.310.1320.1160.051.190.040.06-1.970.17196919841981

USA3.1272.0030.6157.498.830.0830.1060.061.950.040.020.990.18196919731969

IL1IL2IL3EarnOpacCMGidxCostofEquityExpectedRet

IL11

IL20.85641025641

IL3-0.1822222222-0.29641025641

EarnOpac0.28555740640.3695044029-0.02339506461

CMGidx0.2848773360.3879033629-0.19844610540.56720685671

CostofEquity0.00136474270.0348009381-0.20948799980.31682911950.20106845961

ExpectedRet-0.01833698730.11105986650.06331450330.21800897550.37301693640.17795091051

IL1IL2IL3Vol/CapMktDepthVolatility

IL11

IL20.85649101731

IL3-0.170346286-0.27473756981

Vol/Cap0.0779775440.0823967487-0.10514058091

MktDepth0.23549297760.1996654891-0.24486211990.80096393651

Volatility-0.2743102155-0.20590210610.24740125580.2957540801-0.12881381951

Daouk

IL1

IL2

IL3

MacroSD

Countries1IL1IL2IL3FDIGDPGDPgrowthCPIIrspreadListedDomesticLtTunempListedFirm%GDPM2/GDPM2Real IRStockValTradedStockTOUnEmpIL1IL2IL3StockValTradedStockTOUnEmpIL1IL2IL3

Argentina2.4801.8750.6711.990103525.31026.5800238.3590053.78967218.051326.482163.156818305000000008.5353312.72111610.060822.01106725868112StockValTraded-0.3861003861-0.40823680820.2458172458

Australia4.4172.9690.7382.5549861350.3320.94731111.2914350.3442954151.06434.52229915.090454.7827871290000000001.5961416.2263315.439241.06742131282528269StockTO-0.2550836551-0.26537966540.4110682111

Austria4.7201.2810.4081.1405231219.7371.0735610.63655770.1701637.5182163.2918828.4207440.54051793.3563915.340650.383574436351925622LT Unemploy-0.2215662147-0.33212374210.5071385125

Belgium10.8974.1620.72927.517361147.2691.0713860.57560930.406045313.28815.64511546.938520.75593316.09511867.544541.1591651923315811CPI-0.07129987130.04736164740.1853281853

Chile13.0693.3310.4822.004555341.94112.2934421.7601480.977615120.3665119.358374.84865862900000000006.0343843.2995483.4107031.15717929248182010M2/GDP-0.0565778699-0.14463550290.0064098455

China3.3421.9660.7240.6422654230.71451.0171782.766170.3589621278.04589.87309517.8571169800000000002.580989.95200374.291460.5315518323326103418GDPgrowth-0.0393822394-0.01724581720.077992278

Colombia16.7304.6170.5811.85073965.458822.5459865.5761471.7701928.800217.5648663.493641211000000000005.8596661.3636896.0254892.9267291111231136GDP-0.02754182750.0082368082-0.0537966538

Czech0.9330.7380.7593.506353446.44372.0052583.3918360.5535088430.90479.2529754.9369933.3631763260000000001.4885747.5345724.470831.644337462227331Unemploy0.00617760620.07052767050.2391248391

Denmark3.7072.5870.3106.8416741297.0031.0391350.448810.3864126.155653.1897688.8317483.232048939000000000.68904112.0064512.355930.7385965141521303116FDI0.0190476190.00823680820.0146718147

Finland2.7391.5320.8292.7098711922.9541.4960850.89433730.417855722.872883.08654969.168891.50259750.274433.576481.9006861131292327IR spread0.06439117470.1375570526-0.2017103386

France34.7635.5310.6990.80586061135.6981.1496280.60262750.460831285.84433.13305521.349730.607195920.138111.956251.3159243330112525Real IR0.07333062390.2000416285-0.0011009543

Germany8.6312.6160.4733.109361880.90310.96427920.44177960.3727944117.71971.61427112.415560.718334315.1385919.144640.7150405151035333029M20.45208494540.34724435580.268823111

HK4.5982.6400.5999.1937812213.0554.1524863.6294881.133344184.5107114.507334.522824490000000004.06764564.4639620.340931.8379232727201214

India1.2290.9710.7130.193962659.546871.928012.977932483.162914.060327.13512855400000000001.06095222.1974860.955330.350333126227141815

Indonesia6.5013.4370.5931.69342455.286365.48750215.339813.9062128.8613310.587723.79126127700000000000010.593974.31760430.273032.04344871220191019

Israel1.7811.5680.7041.163794414.40112.4287553.717570.914691131.9785818.783410.279111040000000001.76911415.818315.060571.2156435710222723

Italy1.3581.0570.5420.4136135687.66681.2907390.61565670.470328219.396232.78963913.363831.77629617.8280126.721961.35620716191436327

Japan9.3652.9940.7240.0781518990.59571.4892780.75444220.2505511365.39574.74981718.0357512.94512782000000000000.562824724.6371425.727270.6912311202118343624

Korea3.8992.2120.6930.60196531283.2634.2454281.7067870.4539548272.77741.00287324.9581913.509031430000000000002.31467860.3184382.893941.55389717182413354

Malaysia1.9110.9260.7881.327698252.61274.6754941.2115890.5495221125.087954.129487.3606741040000000003.18071648.9358116.808710.4070137302033161720

Mexico4.0923.0240.3730.5206864325.32512.0493839.3459972.74674920.521090.44143316.9779762.1110754500000000003.1956342.9766455.715570.687020869126713

Norway4.1403.5290.6781.353621871.3591.3789140.81207190.159825818.153143.1060939.4669422.4232211120000000005.35854712.7513917.234480.55439062236241435

Peru7.2322.7020.3421.241281101.18322.4896523.3810892.01606622.992157.1693313.397676110000000005.7758422.0129438.3791031.239766843432153

Philippines6.3272.4610.4320.972478360.314712.0252881.9000540.90216596.60041220.605343.0739935000000000001.71172810.0370717.550651.0790121295628

Poland2.3361.9210.6431.090171472.91941.6905885.9865391.03338748.923567.5272467.640994.347207851000000003.3976152.15256719.017813.4732599171541936

Portugal9.1112.0930.7791.917259557.65861.9927720.66656760.966860938.619167.65418710.134492.63151212.1946817.40031.22868110529232412

Russia3.5071.7210.7200.5808772308.47414.74039522.0704824.0876358.5147310.0590219.220084.445377219000000000023.665687.66546419.697192.041226242513352228

Singapore1.7091.4200.1534.0086661829.5834.28890.78932690.801490992.8038336.6765712.65762321000000002.88038521.3546312.046561.02875722321717165

SouthAfrica0.7530.5740.9041.7257136.65811.5706152.2027640.408198111.828434.622032.3643221870000000002.94054819.1115915.990383.080935282643421

Sweden0.3360.2660.7766.3921822008.981.2467430.84479380.669101918.500865.53887419.92490.5256567907000000001.22597531.9702322.188521.8094143434112334

Switzerland2.3691.5610.2611.997332995.95561.1905460.38172530.673626424.34545.16124746.268887.237723587000000000.976358143.1255815.847570.6274417333097117

Thailand2.3520.9680.7521.754263174.10874.9815072.4590310.615886831.3131721.4880510.0744110900000000003.47283218.4293423.641240.81916671216165531

Turkey2.5651.5950.7780.7965986203.6525.47235827.8432924.855418.34004613.001056.7649167870000000000000017.8218927.42551.66652927311292933

UK2.5661.7640.7052.2736431701.0080.51609010.6310810.0956992262.73765.94257222.829231.21450942.665839.449561.1089613536281930

USA3.1272.0030.6150.90284551927.061.1670390.61579751409.9971.81094420.579784.13354713400000000002.06157670.6258641.168230.6698038181423122132

Venezuela31.3007.4390.7521.789193355.29877.71975224.722832.17845416.6324.3238431.1679741880000000000015.009321.28558112.792921.976891131332212826

MacroSD

000

000

000

000

000

000

000

000

000

000

000

000

IL1

IL2

IL3

MacroMN

Countries1IL1IL2IL3CorruptionFDIGDPGDPgrowthGINICPIIrspreadListedDomesticLtTunempListedFirm%GDPM2/GDPM2NewBussReal IRStockValTradedStockTOUnEmpIL1IL2IL3StockValTradedStockTOUnEmpIL1IL2IL3

Argentina2.4801.8750.6714.332.9806517548.0871.4222850.944485.1784225.376828116.194440.6586627.36566982000000004260110.437324.11428712.324615.826051216161432M2-0.6499299639-0.65161332150.0296636024

Australia4.4172.9690.7381.75618821110.952.3535592.4811574.9678391330.89727.3371794.7725665.019245010000000003542805.95003858.2571861.499416.76714923272717276Unemployed-0.3992277992-0.34517374520.0751608752

Austria4.7201.2810.4082.13941423774.071.86395429.151.7157133.697.9061325.5870719.80795121205.526.68982839.901694.0561282586332616GINI-0.3860216447-0.36952932430.1158769886

Belgium10.8974.1620.72923.8539122318.141.72854832.971.8865524.628798156.096255.9898982.78603480335.59113417.6311345.596727.912128323326232210IR spread-0.3860216447-0.36952932430.1158769886

Chile13.0693.3310.48212.876.6096365003.5033.01090856.666493.8765824.153498261.740192.4724147.34624225000000000007.4443299.14558211.03177.3322983330936284Real IR-0.3816088399-0.34705882350.097841795

China3.3421.9660.72427.333.6383031025.5558.21944146.91.583923.2306211099.23631.74782129.8773164000000000003526964.00479734.24218143.56273.559962171824302530Corruption-0.3114065107-0.1900871811-0.1239734571

Colombia16.7304.6170.5812.643.5491152052.0670.490463657.9265710.993557.958506136.848118.3979624.5745100000000000012.42711.3959438.58577415.25119343411101618GDP-0.2759330759-0.23783783780.1366795367

Czech0.9330.7380.75920.236.2818775708.3242.6725425.44.5322534.692824252.773541.5166222.4938564.80711540000000000999153.74071312.4583757.125467.1317453330111820LT Unemploy-0.2363933597-0.12115907240.0008410868

Denmark3.7072.5870.3104.53039129547.911.74616924.72.1394415.004822210.808422.8656156.5174353.84729717000000000479145.62232138.3220268.088675.10102119233782FDI-0.2064350064-0.23963963960.1276705277

Finland2.7391.5320.8293.80826822997.223.19110426.881.379693.485164133.368228.21513131.3518238863.52932599.2261180.8117210.5457915103516345M2/GDP-0.1790306052-0.1228600536-0.1080117433

France34.7635.5310.6992.61076222175.821.6303561.6063223.652102750.667440.3110676.211381988205.10757955.4303174.1712810.57838363519312919NewBuss-0.13612215640.0133285871-0.1106002256

Germany8.6312.6160.4733.852.13321122784.121.27332628.311.4318856.553383753.173950.2482347.152826784398.90378848.26594125.72748.845319292482893CPI-0.1196911197-0.33281853280.0069498069

HK4.5982.6400.59916.2528725326.752.71076243.440.0583414.225096848.4011358.8138216.13252880000000000906079.137157186.010556.422915.310851242513203029GDP growth0.02857142860.0774774775-0.1410553411

India1.2290.9710.71324.980.801931470.60584.69886236.85.796725534.81338.1329252.99675135000000000007.23396251.95092107.28254.6513414622353312Listed Firm%GDP0.1073359073-0.0012870013-0.3657657658

Indonesia6.5013.4370.59341.510.1156858851.63331.47079333.7379414.346023.122126307.245624.8002847.333887490000000000003.68900411.2116653.158887.033702273112141915StockValTraded0.21106821110.1315315315-0.1876447876

Israel1.7811.5680.7042.64570117653.850.985896639.24.0452154.499008620.457558.7686690.872884370000000008.39164426.9279243.239388.86149471220252331Listed Domestic0.23114543110.3588159588-0.1111969112

Italy1.3581.0570.5420.830593918932.160.969233736.032.4306325.344296268.479761.8770644.520223893424.64064742.6785697.35810.2106571012627StockTO0.23140283140.21287001290.0900900901

Japan9.3652.9940.7240.139969436858.71.025705-0.06557851.9232452731.0925.0220372.26531220.49211000000000000003.16857950.5306269.594564.5217023128256119

Korea3.8992.2120.6931.01077811144.53.81965931.593.663361.6093411348.4912.42571849.0778960.006214040000000000005.713261115.0287226.96233.976681202118131322

Malaysia1.9110.9260.7883.5606553948.4742.48405449.152.4391723.437483835.9436157.6473125.17434590000000004.43372468.2718337.887743.1888098434192113

Mexico4.0923.0240.37317.842.9710125730.412.37283549.0211712.17487.339927170.83731.27552725.7977327.8178216000000000003.9794647.69173930.985312.767662129532368

Norway4.1403.5290.6782.11237937207.012.23534925.792.0288972.378261184.17368.20426242.7604152.04758710000000000237982.55022235.7719585.92823.845277223217272017

Peru7.2322.7020.3424.263.1875822104.2411.71432250.679074.43276312.54067217.917426.2355228.68692580000000002573817.054323.49216513.918868.4785532826429157

Philippines6.3272.4610.43235.171.6214181009.2352.20932245.59275.9147284.309701228.446343.3338155.919432080000000000133285.27596213.0594925.816379.477234262279728

Poland2.3361.9210.64315.033.4947514440.7694.32328733.325827.7883035.334205.284743.99916.5249836.72412900000000002535198.888875.61481246.4517815.729089171518241

Portugal9.1112.0930.77914.312.7969510668.531.84923438.452.902134.168699100.220342.8923840.64223278654.82641124.0601659.585855.535277302033243111

Russia3.5071.7210.72015.371.3960961874.3034.31817644.0355127.1296422.26364221.698318.6181133.2108121.4236725500000000006.1544879.76681630.4989810.165741814238221

Singapore1.7091.4200.15313.986922393.363.01651342.480.77446363.990525394.0992154.0358106.0523172000000000394576.00095880.1935551.961493.94933691261036

SouthAfrica0.7530.5740.90416.091.5600653105.5941.42357.785.8864.949797530.0537169.590252.555295710000000001428208.15896955.6728739.6267926.009532236151226

Sweden0.3360.2660.7766.10205726938.032.51823250.95982763.664655263.377426.82677109.029747.641231210000000000156004.111126101.697995.533947.06817113151434

Switzerland2.3691.5610.2613.70110733589.820.964927233.680.79558242.882073250.692329.48587235.2548138.6451587000000000219063.38364198.551488.758123.44523411112223225

Thailand2.3520.9680.75218.272.722872120.7241.85500843.012733.2749544.137655432.372846.60639105.14465870000000000440036.15736836.8207879.539242.02144710529341714

Turkey2.5651.5950.77816.730.9522952965.3562.68867141.8384651.2049286.958232.7485131.8283237.992729710000000000000045.74672157.94758.4400381313324335

UK2.5661.7640.7054.26827224420.12.4446935.972.5638662.8633932214.79830.33065151.87093902002.729981115.095984.977075.756171415212133

USA3.1272.0030.6151.59526434160.472.22138740.812.5145566866.88.176676138.744769.098371300000000004.750211190.6822140.83365.0008091619143524

Venezuela31.3007.4390.7523.335414767.859-0.064348747.6445532.957288.56940271.101057.76774717.3360622800000000000-3.1913451.06257912.9311213.53649353628213523

FDIGDPGDPgrowth

GDP0.24916344921

GDPgrowth0.174002574-0.16422136421

MacroMN

000

000

000

000

000

000

000

000

000

000

000

000

000

000

000

000

000

IL1

IL2

IL3

CG

37

Countries1LegalOriginIL1IL2IL3Top10CapTop10TOMktCap/GDPListedCo/popOwnConcAntiSDPubEnforceAntiDirDisclosProsLiabTaxEvasIL1IL2IL30.3287979746

AustraliaEnglish4.4172.9690.7380.7730.77958.083.100.530.34020.500.220.94Disclosure0.5090.457-0.448

HKEnglish4.5982.6400.5990.4170.456101.9768.350.280.760.540.750.665.78Anti SelfDeal0.2650.263-0.305Top10TO0.859Top10Cap

IndiaEnglish1.2290.9710.7130.6290.76516.3912.070.580.2112.50.250.115.69MktCap/GDP0.2190.353-0.299MktCap/GDP

IsraelEnglish1.7811.5680.70467.1615.490.540.540.530.420.442.87ListedCo/pop0.1470.176-0.293ListedCo/pop0.716MktCap/GDP

MalaysiaEnglish1.9110.9260.7880.4480.59789.7016.720.450.63140.580.337.25Tax Evas0.0010.061-0.270OwnConc

SingaporeEnglish1.7091.4200.1530.1450.12143.320.900.76013.81Prospect Liab0.4120.547-0.141AntiSD

SouthAfricaEnglish0.7530.5740.9040.5820.51414.272.890.630.57030.420.112.82Anti Dir0.5310.415-0.082PubEnforce-0.235AntiSD

ThailandEnglish2.3520.9680.75220.1910.360.33143.17Pub Enforce-0.050-0.1820.094AntiDir0.577AntiSD0.094PubEnforce

UKEnglish2.5661.7640.7050.6520.69458.6039.360.450.460.7540.580.556.00Own Conc0.019-0.0480.308Disclos

USAEnglish3.1272.0030.6150.7190.808177.1128.610.370.4603.50.500.667.38Top10 Cap-0.091-0.2130.385

ArgentinaFrench2.4801.8750.67189.4913.730.340.380.53.50.750.224.54Top10 TO-0.140-0.2000.492

BelgiumFrench10.8974.1620.7290.4500.55154.6910.550.480.2813.50.420.004.60

ChileFrench13.0693.3310.4820.5810.419360.98129.210.540.96050.920.666.93

ColombiaFrench16.7304.6170.5810.3730.37833.805.600.400.580.550.920.662.21IL1IL2IL3

FranceFrench34.7635.5310.6990.5500.58324.701.480.580.65040.500.662.73Latin3.1821.4040.794

IndonesiaFrench6.5013.4370.5930.4470.47853.0497.720.510.73140.670.665.20Europe3.2601.8690.690

ItalyFrench1.3581.0570.5420.5540.61452.774.910.580.42020.670.223.13Scandinavian3.2751.9250.683

MexicoFrench4.0923.0240.3730.2140.21369.1721.510.180.5004.50.750.666.36Asia12.8473.4740.500

PeruFrench7.2322.7020.3420.5090.30454.1429.390.230.470.54.50.750.664.63USA4.1403.5290.678

PhilippinesFrench6.3272.4610.4320.3630.168148.4234.600.540.95150.920.666.09

PortugalFrench9.1112.0930.7790.6430.71521.871.730.640.170.530.580.111.82IL1IL2IL3

RussiaFrench3.5071.7210.7200.6710.67239.6940.220.360.4213.50.580.395.11Scandinavian3.2751.9250.683

TurkeyFrench2.5651.5950.7780.6130.62022.858.170.560.450.253.50.330.66German4.1042.0010.486

VenezuelaFrench31.3007.4390.7520.6120.60748.002.950.570.22040.831.002.03French7.0542.2270.709

AustriaGerman4.7201.2810.4080.6550.63616.695.710.29122.99English7.9942.9760.608

ChinaGerman3.3421.9660.72446.248.810.520.4412.50.420.662.31

CzechGerman0.9330.7380.75933.161.520.44142.46

GermanyGerman8.6312.6160.4730.5100.316164.75100.550.491.00151.000.668.54

JapanGerman9.3652.9940.7240.3810.546155.7712.040.520.81050.830.664.16

KoreaGerman3.8992.2120.6930.5720.681112.2731.380.280.3313.50.580.283.97

PolandGerman2.3361.9210.643248.9635.950.410.270.7530.670.446.84

SwitzerlandGerman2.3691.5610.2610.3740.265101.8925.810.180.56030.750.665.11

TaiwanGerman7.8382.5990.6870.4470.25344.796.620.470.81040.920.223.74

DenmarkScandinavian3.7072.5870.3100.5390.47035.304.330.590.43030.500.222.03

FinlandScandinavian2.7391.5320.8290.4160.369157.7033.130.190.95050.830.666.69

NorwayScandinavian4.1403.5290.6780.4120.062142.1422.830.200.65031.001.006.96

SwedenScandinavian0.3360.2660.7765.512.810.510.09010.170.221.63

CG

000

000

000

000

000

000

000

000

000

000

000

IL1

IL2

IL3

IL1stat

000

000

000

000

000

IL1

IL2

IL3

IL2stat

000

000

000

000

IL1

IL2

IL3

IL3stat

3110 Observations in time series, 1/1/1996-30/11/2007

CountriesN of CompaniesMeanStd DevSD/MeanSkewKurtosisMinMaxCountryIL

Venezuela1180.3360.6521.9424.23123.1920.0005.446Venezuela0.336

Colombia2650.7531.3061.7354.47423.5640.00010.555Colombia0.753

Russia7070.9331.1961.2823.07913.3440.0008.552Russia0.933

Austria3631.2290.9600.7811.5203.1280.0845.735Austria1.229

Italy9031.3581.0880.8011.9404.4510.0456.620Italy1.358

China1,7271.7091.7371.0172.2636.6600.00011.272China1.709

Belgium1,0651.7811.4110.7931.6833.1760.0008.032Belgium1.781

Chile4991.9111.9671.0292.7039.8110.07314.013Chile1.911

Switzerland1,2692.3361.8870.8082.4315.9160.00011.334Switzerland2.336

Czech2702.3525.5892.3774.70225.6590.00044.658Czech2.352

Taiwan1,5602.3692.9591.2495.24442.3920.07331.313Taiwan2.369

France2,7542.4802.3030.9281.8293.0960.00012.012France2.480

Peru4832.5653.5781.3955.27334.2540.03632.919Peru2.565

Denmark4762.5662.4490.9541.8243.3830.20313.507Denmark2.566

UK7,8392.7392.5450.9294.52629.5040.00025.400UK2.739

Finland3423.1273.3871.0831.8483.2210.00017.479Finland3.127

Portugal2973.3423.1390.9392.72210.3050.19923.177Portugal3.342

Norway6943.5074.5751.3052.7688.3210.00027.732Norway3.507

Turkey4463.7074.0971.1053.53617.0920.00034.143Turkey3.707

Sweden1,4643.8995.7001.4622.7047.7510.00033.337Sweden3.899

Japan5,0454.0922.9820.7291.3752.4710.51118.067Japan4.092

USA43,1484.1402.0330.4912.0049.4760.11318.136USA4.140

Argentina2024.4175.7341.2983.25012.6060.00040.208Argentina4.417

Australia3,9884.5982.9610.6441.5172.8740.28017.071Australia4.598

Poland5144.7208.8471.8743.62915.8530.00063.770Poland4.720

Malaysia1,4226.3275.9330.9381.4652.5200.10733.748Malaysia6.327

Israel9576.5015.1430.7910.875-0.1580.35121.669Israel6.501

Korea2,7427.23210.0221.3862.8749.1420.00063.710Korea7.232

Thailand1,2367.8389.0691.1573.87018.6660.23872.516Thailand7.838

Singapore1,0358.63111.6761.3532.3786.8760.00071.201Singapore8.631

Mexico7729.11112.5901.3823.20513.6320.00090.995Mexico9.111

SouthAfrica1,7269.36510.6371.1362.0534.5980.00060.833SouthAfrica9.365

Germany11,24810.89716.1751.4843.60415.5130.000122.616Germany10.897

HK1,48613.06912.3380.9441.3211.8090.00065.299HK13.069

India3,13316.73020.0981.2011.9874.1570.000111.562India16.730

Philippines54031.30036.6851.1722.0944.4590.123188.490Philippines31.300

Indonesia67734.76358.7301.6894.89029.2620.181514.456Indonesia34.763

103,412

IL3stat

IL

IndicesIL1



Venezuela1180.2660.3711.3932.7659.6230.0002.427Venezuela0.266

Colombia2650.5740.7321.2763.80517.9470.0005.254Colombia0.574

Russia7070.7380.7821.0602.0206.0880.0004.885Russia0.738

Chile4990.9260.5510.5961.6834.2280.1053.603Chile0.926

Czech2700.9681.0311.0651.7893.4280.0005.909Czech0.968

Austria3630.9710.6190.6380.9420.9500.0823.316Austria0.971

Italy9031.0570.6760.6401.8504.3480.0724.374Italy1.057

Poland5141.2811.0860.8481.4102.3300.0005.871Poland1.281

China1,7271.4201.2370.8712.1196.2010.0008.372China1.420

UK7,8391.5320.8520.5564.31528.3170.0008.821UK1.532

Taiwan1,5601.5611.3630.8733.76126.6930.11113.846Taiwan1.561

Belgium1,0651.5681.0870.6941.3812.0060.0005.818Belgium1.568

Peru4831.5951.0590.6641.8034.9770.0326.906Peru1.595

Norway6941.7211.5230.8852.0364.6180.0008.418Norway1.721

Denmark4761.7641.2950.7341.4151.6460.2366.695Denmark1.764

France2,7541.8751.3140.7011.3481.5330.0006.630France1.875


Portugal2971.9661.2680.6451.8054.4890.2718.773Portugal1.966

Finland3422.0031.6860.8421.2711.1640.0007.787Finland2.003

Mexico7722.0931.2820.6131.3022.1390.0007.426Mexico2.093

Sweden1,4642.2122.2151.0011.9533.7750.00011.792Sweden2.212


Turkey4462.5872.2220.8593.38615.8020.00018.439Turkey2.587




Korea2,7422.7021.8750.6942.1986.0600.00012.458Korea2.702


SouthAfrica1,7262.9941.9070.6370.9710.4310.0009.424SouthAfrica2.994

Japan5,0453.0241.7750.5871.0341.2360.55010.233Japan3.024

HK1,4863.3311.9270.5780.336-0.8010.0008.345HK3.331

Israel9573.4372.2670.6600.776-0.3330.4129.993Israel3.437

USA43,1483.5296.7521.91412.319158.5610.09695.747USA3.529

Germany11,2484.1622.8460.6842.1575.0840.00018.385Germany4.162

India3,1334.6173.2520.7041.1781.2090.00017.325India4.617


Philippines5407.4395.3380.7181.1260.9820.30826.571Philippines7.439

103,412

IndicesIL1

IL

IndicesIL2



China1,7270.1530.2431.5863.0437.7290.0071.000China0.153

Taiwan1,5600.2610.1880.7213.2199.5510.0630.999Taiwan0.261

Turkey4460.3100.1670.5403.18510.7000.0791.000Turkey0.310

Korea2,7420.3420.1680.4913.1089.4990.1261.000Korea0.342

Japan5,0450.3730.1580.4243.37110.5590.1261.000Japan0.373

Poland5140.4080.1560.3821.7024.6890.0741.000Poland0.408



HK1,4860.4820.1430.2972.2616.2260.2370.999HK0.482

Italy9030.5420.0900.1663.32814.6320.3970.997Italy0.542

India3,1330.5810.1110.1912.1876.3130.2931.000India0.581

Israel9570.5930.1580.2670.6380.6310.1641.000Israel0.593


Finland3420.6150.0860.1402.2477.9270.4040.997Finland0.615


France2,7540.6710.0820.1230.6812.1350.4890.989France0.671

USA43,1480.6780.0930.1371.0142.3550.5130.998USA0.678


Sweden1,4640.6930.0760.1092.1856.7590.5491.000Sweden0.693


Belgium1,0650.7040.1060.151-0.112-0.7890.4820.994Belgium0.704

Denmark4760.7050.0780.1101.9225.4970.5091.000Denmark0.705

Austria3630.7130.1080.1520.1670.6560.4341.000Austria0.713

Norway6940.7200.0810.1130.8222.6700.5031.000Norway0.720

Portugal2970.7240.1100.152-0.158-1.0920.4610.990Portugal0.724

SouthAfrica1,7260.7240.1380.190-0.472-0.8120.4010.996SouthAfrica0.724

Germany11,2480.7290.1090.149-0.200-0.6750.4920.996Germany0.729


Philippines5400.7520.1130.1500.013-0.3400.4071.000Philippines0.752

Czech2700.7520.2430.324-1.046-0.4520.1281.000Czech0.752

Russia7070.7590.1000.131-1.3521.8180.3540.955Russia0.759

Venezuela1180.7760.1930.248-1.018-0.1650.1891.000Venezuela0.776

Peru4830.7780.0520.066-0.9281.0540.5800.992Peru0.778

Mexico7720.7790.0690.088-0.718-0.5600.5880.993Mexico0.779

Chile4990.7880.0650.0820.4661.6460.5780.991Chile0.788

UK7,8390.8290.0390.0461.7808.9340.5901.000UK0.829

Colombia2650.9040.0450.0490.259-0.2710.7591.000Colombia0.904

103,412

IndicesIL2

IL

TSgraphs

WorldGLatinGEuropeGAsiaGWorldLatinEuropeAsiaWorldGLatinGEuropeGAsiaG

02/01/1996-0.18117039-0.62026014-0.08130021-0.8881208202/01/19962.358313010.42503751.45248640.9753203WorldG1

03/01/1996-0.4647111-0.64529595-0.44198818-0.6650388403/01/19961.561751470.457075751.106696741.69178659LatinG0.77015586341

04/01/1996-0.196350420.19773104-0.30041781-0.4712333304/01/19961.86020610.833132781.148954441.65094399EuropeG0.91503276330.60453183541

05/01/1996-0.168066640.29736893-0.28897102-0.1882378305/01/19961.697504521.121913741.197908132.28922275AsiaG0.80605094040.54066905560.60520621681

08/01/1996-0.00448069-0.07643735-0.15097491-0.4187757408/01/19962.188839861.103168961.340455391.80508942

09/01/1996-0.219073930.09631456-0.41378223-0.616259709/01/19961.501931511.050746541.117836641.39428294WorldLatinEuropeAsia

10/01/1996-0.18730716-0.54149339-0.26124636-0.5040365210/01/19961.838120960.51369891.221144172.04572779World1

11/01/1996-0.02329472-0.501671331.09656124-0.593466811/01/19964.835415161.1255467216.52647871.617297Latin0.64471836161

12/01/1996-0.28362035-0.10972495-0.45185682-0.7327048912/01/19961.434046261.298731121.075608761.32052484Europe0.80777563790.55783742231

15/01/1996-0.09948429-0.24749252-0.08259402-0.624286315/01/19962.033855251.119859091.412204422.02387279Asia0.90219083410.44858301250.69732103571

16/01/1996-0.03911114-0.260324520.60165261-0.5912388316/01/19964.758122950.7813533516.115556171.7430768

17/01/1996-0.29502204-0.52908141-0.24143425-0.5880334817/01/19961.364752770.365953541.200867621.80873112

18/01/1996-0.25266072-0.61362014-0.25892939-0.5513055118/01/19961.421958810.507531461.265166891.49797618

19/01/1996-0.38400167-0.24012931-0.62015473-0.6094631819/01/19961.245110450.78595930.837794161.53627391

22/01/1996-0.147575460.37181392-0.46708372-0.5196527522/01/19961.644466741.07574841.057757971.94385763

23/01/1996-0.24122670.33190904-0.66330214-0.5838801123/01/19961.480038921.238777160.826688841.74938418

24/01/1996-0.33790953-0.61044171-0.48150142-0.6149899224/01/19961.526844880.553686621.057081071.8878408

25/01/1996-0.34090205-0.42638491-0.39518951-0.6304888925/01/19961.46867910.874587471.16197931.72383433

26/01/1996-0.296197190.19927291-0.54022064-0.6422375326/01/19961.488615551.301710050.965688731.68780357

29/01/1996-0.17604325-0.56622973-0.10501852-0.4870074429/01/19961.9512040.915300051.421652631.79044145

30/01/1996-0.29939138-0.37196686-0.17097906-0.6148836330/01/19961.570569651.017901581.387817471.71025989

31/01/1996-0.43869325-0.34384393-0.54738849-0.7148989931/01/19961.307105040.932601871.059679371.31097546

01/02/1996-0.47904479-0.45618591-0.66317175-0.696381201/02/19961.23505060.93669651.018207441.43867644

02/02/1996-0.35689538-0.08288909-0.37768519-0.633113702/02/19961.412220781.262386161.626061851.61978396

05/02/1996-0.25488734-0.18419315-0.13430254-0.5473608205/02/19961.440812380.597751261.53685171.679734

06/02/1996-0.38874771-0.02430179-0.615335-0.5363853106/02/19961.308495581.233808271.018469681.58028836

07/02/1996-0.35274731-0.02494128-0.47953526-0.6278924407/02/19961.304355880.923012761.129709851.61037177

08/02/1996-0.25119198-0.19115570.07181187-0.6132114708/02/19962.918039390.951274958.125727281.91878503

09/02/1996-0.218313410.00298039-0.02707415-0.6483469309/02/19962.033237730.838150833.918042181.70790652

12/02/1996-0.15633651-0.267196560.29435989-0.4632504912/02/19961.895060920.569704962.653817492.16637432

13/02/1996-0.3492477-0.32583087-0.37058906-0.4872975613/02/19961.672646580.714372661.579323912.71672946

14/02/1996-0.37287286-0.37162986-0.35899806-0.5487985514/02/19961.233706190.771649111.236362341.54506889

15/02/1996-0.39278007-0.70343538-0.35696145-0.5413033615/02/19961.442875420.440365851.407027011.49588592

16/02/1996-0.41632773-0.58375911-0.25538419-0.6761096916/02/19961.281965560.587063491.399499611.52697406

19/02/1996-0.34038668-0.027810450.49070377-0.8768394619/02/19961.749974961.469177772.323559613.87553433

20/02/1996-0.62825705-0.60336515-0.41043378-0.9246707420/02/19961.253047890.885649371.294911492.5643127

21/02/1996-0.47239393-0.08257758-0.22823859-0.8337179621/02/19961.272949230.860370081.395469851.596376

22/02/1996-0.45292898-0.4927370.00312155-0.6794193622/02/19961.231037920.467091811.694222491.58649296

23/02/1996-0.38642693-0.06998003-0.0326155-0.5452431123/02/19961.239487130.67581071.844434121.49335181

26/02/1996-0.22210824-0.306020.12984782-0.3218805126/02/19961.475529340.542902911.712593281.96897765

27/02/1996-0.31937567-0.16796648-0.11499863-0.4381302127/02/19961.31626810.713989951.38402751.90005756

28/02/1996-0.38592396-0.21444484-0.31526174-0.5021623628/02/19961.236099460.97903451.241128691.58744493

29/02/1996-0.357439760.26692904-0.47993218-0.4950651429/02/19961.347164941.714415031.167926581.79893865

01/03/1996-0.19662293-0.21196953-0.336923010.2377294201/03/19962.158094771.046518711.173423465.93980973

04/03/1996-0.29845403-0.25126346-0.37092249-0.4182210104/03/19961.427574090.683574971.289947432.15371342

05/03/1996-0.30877286-0.22776499-0.03058753-0.4261874905/03/19962.082922180.732592214.767200152.10174914

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23/10/19970.0277534-0.22094980.365078170.0096767423/10/19972.905591940.821746232.857424224.84927377

24/10/1997-0.07946616-0.19274172-0.399152270.4328156924/10/19972.906431450.828744821.230414087.02147838

27/10/19970.589769071.195580410.27145870.6739123227/10/19974.572226283.350137321.877710199.75379431

28/10/19970.594800880.033395911.160640110.9479908128/10/19974.814132291.106203694.57903389.86410022

29/10/19970.433017570.208782390.91773730.6030809729/10/19973.971727041.420911962.983386768.07272243

30/10/19970.280338580.22298480.222715590.408565230/10/19973.825900451.400133871.8218269510.36601298

31/10/19970.22570367-0.301693720.313132590.4515585531/10/19973.527348610.765375151.994009758.95672211

03/11/19970.19353953-0.320665620.230195850.3885772703/11/19973.69334960.978741031.950484588.19016963

04/11/19970.02596396-0.4159583-0.185845570.4482202504/11/19973.053329650.51683661.282065187.09481857

05/11/19970.13228683-0.04504143-0.088501910.6152502805/11/19973.678576980.806617721.33343638.60598323

06/11/19970.18090642-0.384867880.133970550.6215397806/11/19974.225769660.580348811.570669510.36860932

07/11/19970.236630640.436672270.036636140.6282771707/11/19973.951525651.756555741.550879359.36124758

10/11/19970.334594760.55041591-0.06491020.7035408410/11/19973.929740981.957258451.770820958.34552239

11/11/19970.146444340.59048518-0.314438550.6009497811/11/19973.734336511.764024861.539559998.58960146

12/11/19970.389927750.899498770.183308030.4995429212/11/19973.834201862.142963661.778051698.7285337

13/11/19970.310872820.489996580.164990250.6773344913/11/19973.942699091.60214481.741331599.21158437

14/11/19970.417961571.1506859-0.00849010.6802847214/11/19974.140927892.679666061.556383229.79787782

17/11/19970.403881710.791598140.079657980.8178585317/11/19974.657283032.964155051.7659206110.62287131

18/11/19970.292422540.69060250.096688480.5871758918/11/19973.636071442.286171981.5515598.17967621

19/11/19970.268286680.36147003-0.263110830.8726977519/11/19974.052033621.619485531.3536948710.20833518

20/11/19970.299201390.21343688-0.192505270.8108154520/11/19974.674960351.579935311.359424311.44830004

21/11/19970.18172373-0.066077240.036719820.6580881521/11/19974.359214330.954077442.2346569810.4193133

24/11/19970.466511810.886606610.367471060.696443924/11/19975.631341172.39058662.1333515314.42799338

25/11/19970.384884250.19824690.205743591.0686647925/11/19975.044539721.337841981.9617382512.76738609

26/11/19970.359807760.574449710.141252660.7849514726/11/19974.396361491.696783631.7658891910.48174626

27/11/19970.19004136-0.11538023-0.27077780.8171128427/11/19974.598543051.088657361.3685992712.25757687

28/11/19970.390781240.04506496-0.205325880.8160962328/11/19975.419582581.281180651.3187606315.85702178

01/12/19970.584858640.04242595-0.144445462.0320288701/12/19976.903845291.27192771.5686152919.89542923

02/12/19970.29888806-0.29927379-0.403102411.5470032402/12/19976.552988140.709912291.092801819.34820398

03/12/19970.447742140.20473315-0.229227411.517565903/12/19977.059469551.421073311.566383919.46277189

04/12/19970.17566243-0.00865163-0.471961870.9717545104/12/19975.630553771.194543531.2050510714.1658345

05/12/19970.002423470.09329935-0.435900130.3079866705/12/19974.428468091.143324041.122196649.96431186

08/12/19970.07124689-0.9738167-0.51625051.3150654508/12/19977.836433461.870772481.8123861619.08050053

09/12/19970.241509580.04714633-0.442871171.2750635309/12/19975.815528171.231303411.1111815215.72779992

10/12/19970.156136490.14550923-0.297473540.5118195210/12/19974.484317171.298965591.2634184712.51942805

11/12/19970.44731807-0.078881880.033916071.6910397511/12/19976.636474221.070362491.6309659719.80329001

12/12/19970.257573960.10050841-0.233653481.1578145312/12/19975.391628270.960616421.4569664515.81512605

15/12/19970.391078420.33390744-0.053140491.0752629315/12/19975.214569551.451146381.5604073114.42217042

16/12/19970.17055120.12445413-0.21569251.050545716/12/19975.388069061.289021581.6745391915.6321499

17/12/19970.222529180.17803466-0.181973350.8459505217/12/19974.8166921.293738241.4359288813.53662829

18/12/19970.075661880.05006067-0.274409660.4529915818/12/19974.180755451.141217241.2584654711.89029942

19/12/19970.337726990.253950380.088707841.1309234819/12/19975.086431751.190474072.0545454314.27102889

22/12/19970.387857560.57542495-0.233398431.5379726222/12/19975.718258342.111634191.2690526717.77066199

23/12/19970.27398750.14579395-0.24782250.8911444523/12/19975.073828611.301784121.3293588916.34433308

24/12/19970.255793590.12757855-0.183335651.44806224/12/19978.459050271.856415722.745966718.73857465

25/12/1997-0.789632-1.16905827-1.304695330.084436625/12/199714.022572650039.66360736

26/12/1997-0.004189840.44657005-1.162087691.0201331526/12/19978.734686331.729804811.0972992220.83117018

29/12/19970.483406860.317744130.204297430.9767674329/12/19975.236086011.575237291.8638492815.44279455

30/12/19970.208149120.03323059-0.069245610.7033700430/12/19973.608862871.348805411.563530410.67334466

31/12/1997-0.24464259-0.48366462-0.20911489-0.1239991431/12/19973.766413011.088307541.510427849.08975792

01/01/1998-1.16201969-1.17302152-1.3122012-1.1356555101/01/19986.2174226000

02/01/1998-0.029428860.582970380.012661150.1393208302/01/19986.020939462.603750942.8969867520.39442582

05/01/19980.672899130.13557064-0.375249652.498261505/01/19987.778017121.545732941.2308804624.91911038

06/01/19980.422606130.38306408-0.533068782.0493107506/01/19988.139605481.492039581.5183200325.38933261

07/01/19980.371411270.57168709-0.197702661.4880358307/01/19986.497650271.799761.3957414920.61821381

08/01/19980.411993540.39713246-0.239634441.4292009708/01/19986.572723951.69007451.4637862320.43546729

09/01/19980.505223451.08744031-0.013026831.4535653109/01/19986.592126612.998860722.1703604519.76907209

12/01/19980.879198941.008889160.202107241.8281169212/01/19988.051939733.710278232.1289189722.1570901

13/01/19980.798926631.35126548-0.118759911.7972492413/01/19987.290486622.748543071.8145030221.81479392

14/01/19980.435070210.29304307-0.275642511.4973282414/01/19986.299790891.531090571.366923319.00034703

15/01/19980.250016830.44011958-0.48033560.8480802415/01/19985.732221182.043796281.083788717.45341504

16/01/19980.417986840.60230739-0.316087381.2645322616/01/19985.822988662.427851131.2844507617.04815416

19/01/19980.287627950.39450189-0.362372361.2774733319/01/19985.63385851.623461311.216234316.57575322

20/01/19980.183041990.3485616-0.708904261.0988000620/01/19985.339663771.495789580.8669194516.03859637

21/01/19980.329026450.33683392-0.478888161.2717039221/01/19985.652499561.398906331.1087754616.65373019

22/01/19980.403469270.55783584-0.356302441.2305304322/01/19985.578551881.684760661.2771374415.70501731

23/01/19980.495781950.96642301-0.277736241.3379930323/01/19986.781942732.377246271.403006422.41605094

26/01/1998

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Stock Market Liquidity and Country Fundamentals