On Liquidity Commonality of Stock Exchange: An Empirical Study Based on SHSE

The empirical study of substitute indicators of the four liquidity dim ensions, i.e. proportional quoted spread (PQSPR), quoted depth (DEP), ILLIQ and turnover (TURN), indicates the marked market wide commonality in liquidity, whic h is pervasive across size quintiles in SHSE. Moreover, the systematic liquidity risk, which cannot avoided by decentralization, is testified in the study.