Kort, P.M.

liquidity country market commonality stock return demand-side factor time-serie table volatility investor model capital coef ficients signi journal ficient effect demand-side factors measure regression equity variable market volatility andrew karolyi trading 40 countries turnover / journal market declines nancial funding fi nancial intermediaries economic sample interest level result rturn signi ficantly month index proxy sentiment market liquidity capital fl ows period coef ficient equity fl ows capital market conditions variation stock returns discount market returns explanation ficant amihud signi ficant decline funding constraints increase number portfolio hypothesis innovation spread karolyi deviation evidence andrew supply market return 82–112 funding liquidity volume country fund discount ficantly investor sentiment cross-country