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Liquidity and stock returns in emerging equity markets

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  • Jun, Sang-Gyung
  • Marathe, Achla
  • Shawky, Hany A.

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Bibliographic Info

Article provided by Elsevier in its journal Emerging Markets Review.

Volume (Year): 4 (2003)
Issue (Month): 1 (March)
Pages: 1-24

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Handle: RePEc:eee:ememar:v:4:y:2003:i:1:p:1-24

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Web page: http://www.elsevier.com/locate/inca/620356

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References

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  1. Schwert, G William, 1989. " Why Does Stock Market Volatility Change over Time?," Journal of Finance, American Finance Association, vol. 44(5), pages 1115-53, December.
  2. Amihud, Yakov & Mendelson, Haim, 1991. " Liquidity, Maturity, and the Yields on U.S. Treasury Securities," Journal of Finance, American Finance Association, vol. 46(4), pages 1411-25, September.
  3. Geert Bekaert & Campbell R. Harvey, 2000. "Foreign Speculators and Emerging Equity Markets," Journal of Finance, American Finance Association, vol. 55(2), pages 565-613, 04.
  4. Levine, Ross, 1996. "Financial development and economic growth : views and agenda," Policy Research Working Paper Series 1678, The World Bank.
  5. Simon Gervais & Ron Kaniel & Dan Mingelgrin, . "The High Volume Return Premium," Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research 01-99, Wharton School Rodney L. White Center for Financial Research.
  6. Jacoby, Gady & Fowler, David J. & Gottesman, Aron A., 2000. "The capital asset pricing model and the liquidity effect: A theoretical approach," Journal of Financial Markets, Elsevier, Elsevier, vol. 3(1), pages 69-81, February.
  7. Bekaert, Geert & Harvey, Campbell R., 1997. "Emerging equity market volatility," Journal of Financial Economics, Elsevier, Elsevier, vol. 43(1), pages 29-77, January.
  8. Levine, Ross & Zervos, Sara, 1998. "Stock Markets, Banks, and Economic Growth," American Economic Review, American Economic Association, vol. 88(3), pages 537-58, June.
  9. Datar, Vinay T. & Y. Naik, Narayan & Radcliffe, Robert, 1998. "Liquidity and stock returns: An alternative test," Journal of Financial Markets, Elsevier, Elsevier, vol. 1(2), pages 203-219, August.
  10. Tarun Chordia, 2001. "Market Liquidity and Trading Activity," Journal of Finance, American Finance Association, vol. 56(2), pages 501-530, 04.
  11. Brennan, Michael J. & Subrahmanyam, Avanidhar, 1996. "Market microstructure and asset pricing: On the compensation for illiquidity in stock returns," Journal of Financial Economics, Elsevier, Elsevier, vol. 41(3), pages 441-464, July.
  12. Brennan, Michael J. & Chordia, Tarun & Subrahmanyam, Avanidhar, 1998. "Alternative factor specifications, security characteristics, and the cross-section of expected stock returns," Journal of Financial Economics, Elsevier, Elsevier, vol. 49(3), pages 345-373, September.
  13. Haugen, Robert A. & Baker, Nardin L., 1996. "Commonality in the determinants of expected stock returns," Journal of Financial Economics, Elsevier, Elsevier, vol. 41(3), pages 401-439, July.
  14. Fama, Eugene F & French, Kenneth R, 1996. " Multifactor Explanations of Asset Pricing Anomalies," Journal of Finance, American Finance Association, vol. 51(1), pages 55-84, March.
  15. Fama, Eugene F & MacBeth, James D, 1973. "Risk, Return, and Equilibrium: Empirical Tests," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 81(3), pages 607-36, May-June.
  16. Kamara, Avraham, 1994. "Liquidity, Taxes, and Short-Term Treasury Yields," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 29(03), pages 403-417, September.
  17. Amihud, Yakov & Mendelson, Haim, 1986. "Asset pricing and the bid-ask spread," Journal of Financial Economics, Elsevier, Elsevier, vol. 17(2), pages 223-249, December.
  18. Atje, Raymond & Jovanovic, Boyan, 1993. "Stock markets and development," European Economic Review, Elsevier, vol. 37(2-3), pages 632-640, April.
  19. Henry, Peter Blair, 2000. "Do stock market liberalizations cause investment booms?," Journal of Financial Economics, Elsevier, Elsevier, vol. 58(1-2), pages 301-334.
  20. Yakov Amihud & Haim Mendelson & Beni Lauterbach, 1997. "Market Microstructure and Securities Values: Evidence from the Tel Aviv Stock Exchange," New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- 98-004, New York University, Leonard N. Stern School of Business-.
  21. Peter Blair Henry, 2000. "Stock Market Liberalization, Economic Reform, and Emerging Market Equity Prices," Journal of Finance, American Finance Association, vol. 55(2), pages 529-564, 04.
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Citations

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Cited by:
  1. Roslily Ramlee & Ruhani Ali, 2012. "Liquidity, Initial Public Offering (IPO) Long-Term Return and Government Ownership Evidence from Bursa Malaysia IPO Stocks," Asian Academy of Management Journal of Accounting and Finance, Penerbit Universiti Sains Malaysia, vol. 8(Supp. 1), pages 39-66.
  2. Ye Bai & Christopher Green, 2011. "Determinants of cross-sectional stock return variations in emerging markets," Empirical Economics, Springer, vol. 41(1), pages 81-102, August.
  3. Michael E. Drew & Alastair Marsden & Madhu Veeraraghavan, 2004. "Small Firm Effect, Liquidity and Security Returns: Australian Evidence," School of Economics and Finance Discussion Papers and Working Papers Series, School of Economics and Finance, Queensland University of Technology 172, School of Economics and Finance, Queensland University of Technology.
  4. Joyce Hsieh & Chien-Chung Nieh, 2010. "An overview of Asian equity markets," Asian-Pacific Economic Literature, Asia Pacific School of Economics and Government, The Australian National University, Asia Pacific School of Economics and Government, The Australian National University, vol. 24(2), pages 19-51, November.
  5. David McMillan & Pako Thupayagale, 2011. "Measuring volatility persistence and long memory in the presence of structural breaks: Evidence from African stock markets," Managerial Finance, Emerald Group Publishing, Emerald Group Publishing, vol. 37(3), pages 219-241, March.
  6. Donadelli, Michael & Prosperi, Lorenzo, 2012. "On the role of liquidity in emerging markets stock prices," Research in Economics, Elsevier, Elsevier, vol. 66(4), pages 320-348.
  7. Rhee, S. Ghon & Wang, Jianxin, 2009. "Foreign institutional ownership and stock market liquidity: Evidence from Indonesia," Journal of Banking & Finance, Elsevier, vol. 33(7), pages 1312-1324, July.
  8. Collins G. Ntim & Kwaku K. Opong & Jo Danbolt & Frank Senyo Dewotor, 2011. "Testing the weak-form efficiency in African stock markets," Managerial Finance, Emerald Group Publishing, Emerald Group Publishing, vol. 37(3), pages 195-218, March.
  9. Lischewski, Judith & Voronkova, Svitlana, 2012. "Size, value and liquidity. Do They Really Matter on an Emerging Stock Market?," Emerging Markets Review, Elsevier, Elsevier, vol. 13(1), pages 8-25.
  10. Wang, Yuenan & Di Iorio, Amalia, 2007. "The cross section of expected stock returns in the Chinese A-share market," Global Finance Journal, Elsevier, vol. 17(3), pages 335-349, 03.
  11. Márcio André Veras Machado & Otávio Ribeiro de Medeiros, 2012. "Does the liquidity effect exist in the brazilian stock market?," Brazilian Business Review, Fucape Business School, vol. 9(4), pages 27-50, October.
  12. Vo, Xuan Vinh & Batten, Jonathan, 2010. "An Empirical Investigation of Liquidity and Stock Returns Relationship in Vietnam Stock Markets during Financial Crisis," MPRA Paper 29862, University Library of Munich, Germany, revised 10 Jan 2011.
  13. Gao, Lei & Kling, Gerhard, 2006. "Regulatory changes and market liquidity in Chinese stock markets," Emerging Markets Review, Elsevier, Elsevier, vol. 7(2), pages 162-175, June.
  14. Marshall, Ben R. & Nguyen, Nhut H. & Visaltanachoti, Nuttawat, 2013. "Liquidity measurement in frontier markets," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 27(C), pages 1-12.

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