We use three facets of freedom of choice (opportunity, decisional autonomy, and immunity from interference) to develop a freedom of choice index for 46 countries and test its impact on commonality in liquidity. We find that the three aspects of individual freedom of choice are negatively related to country-specific market liquidity commonality. Building on Sen’s (1993) theoretical framework, we document that in the presence of opportunities for making independent choices, immunity from encroaching activities, and decisional autonomy, investors tend to show less correlated trading decisions, measured by the levels of liquidity co-movement. To address possible endogeneity bias, we use 9/11 and country-level terrorist attacks as an exogenous source of variations to personal freedom of choice. We find that higher levels of perceived threats in a country restrain personal freedoms and tend to reduce freedom of choice effects on liquidity commonality. Our results are robust to alternative explanations, freedom of choice definitions, and model specifications.

我们从选择自由的三个方面（机会、决策自主权和免受干扰）制定了46个国家的选择自由指数，并测试其对流动性共性的影响。我们发现，个人选择自由的三个方面与特定国家市场流动性共性呈负相关。基于 Sen（1993）的理论框架，我们记录了在存在做出独立选择的机会、免受侵犯活动的影响以及决策自主权的情况下，投资者往往会表现出相关性较低的交易决策（通过流动性联动水平来衡量）。为了解决可能的内生性偏差，我们使用 9/11 和国家级恐怖袭击作为个人选择自由变化的外生来源。我们发现，一个国家感知到的威胁程度越高，个人自由就会受到限制，并且往往会降低选择自由对流动性共性的影响。我们的结果对于替代解释、自由选择定义和模型规范是稳健的。