Download or read book Commonality in Returns, Order Flows, and Liquidity in the Greek Stock Market written by Michael Moore and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Using a unique high-frequency data set on a comprehensive sample of Greek blue-chip stocks, spanning from September 2003 through March 2006, this note assesses the extent and role of commonality in returns, order flows, and liquidity. It also formally models aggregate equity returns in terms of aggregate equity order flow, in an effort to clarify order flow's importance in explaining returns for the Athens Exchange market. Almost a quarter of the daily returns in the FTSE/ATHEX20 index is explained by aggregate own-order flow. In a second step, using principal components and canonical correlation analysis, we document substantial common movements in returns, order flows, and liquidity, both on a market-wide basis as well as on an individual security basis. These results emphasize that asset pricing and liquidity cannot be analyzed in isolation from each other.