Advanced Search
MyIDEAS: Login to save this paper or follow this series

An Empirical Investigation of Liquidity and Stock Returns Relationship in Vietnam Stock Markets during Financial Crisis

Contents:

Author Info

  • Vo, Xuan Vinh
  • Batten, Jonathan

Abstract

This paper investigates the relationship between liquidity and stock returns in the Vietnam stock market during financial crisis using a data set ranging from 2006 to 2010. Employing a rich and detailed dataset of characteristics of firm listed in Ho Chi Minh City Stock Exchange, the results from the analysis indicate that liquidity positively affects stock returns. Our results contradict previous results that liquidity is negatively correlated with stock returns as investors required a premium to compensate for illiquid stocks in developed markets

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://mpra.ub.uni-muenchen.de/29862/
File Function: original version
Download Restriction: no

Bibliographic Info

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 29862.

as in new window
Length:
Date of creation: 01 Jan 2010
Date of revision: 10 Jan 2011
Handle: RePEc:pra:mprapa:29862

Contact details of provider:
Postal: Schackstr. 4, D-80539 Munich, Germany
Phone: +49-(0)89-2180-2219
Fax: +49-(0)89-2180-3900
Web page: http://mpra.ub.uni-muenchen.de
More information through EDIRC

Related research

Keywords: Liquidity; stock returns; Vietnam;

Find related papers by JEL classification:

This paper has been announced in the following NEP Reports:

References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
as in new window
  1. 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.
  2. Amihud, Yakov & Mendelson, Haim & Lauterbach, Beni, 1997. "Market microstructure and securities values: Evidence from the Tel Aviv Stock Exchange," Journal of Financial Economics, Elsevier, Elsevier, vol. 45(3), pages 365-390, September.
  3. 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.
  4. Chan, Howard W. & Faff, Robert W., 2003. "An investigation into the role of liquidity in asset pricing: Australian evidence," Pacific-Basin Finance Journal, Elsevier, Elsevier, vol. 11(5), pages 555-572, November.
  5. Fama, Eugene F & French, Kenneth R, 1992. " The Cross-Section of Expected Stock Returns," Journal of Finance, American Finance Association, American Finance Association, vol. 47(2), pages 427-65, June.
  6. Amihud, Yakov & Mendelson, Haim, 1980. "Dealership market : Market-making with inventory," Journal of Financial Economics, Elsevier, Elsevier, vol. 8(1), pages 31-53, March.
  7. Ernst Maug, 1998. "Large Shareholders as Monitors: Is There a Trade-Off between Liquidity and Control?," Journal of Finance, American Finance Association, American Finance Association, vol. 53(1), pages 65-98, 02.
  8. Holmstrom, Bengt & Tirole, Jean, 1993. "Market Liquidity and Performance Monitoring," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 101(4), pages 678-709, August.
  9. Glosten, Lawrence R. & Harris, Lawrence E., 1988. "Estimating the components of the bid/ask spread," Journal of Financial Economics, Elsevier, Elsevier, vol. 21(1), pages 123-142, May.
  10. Avanidhar Subrahmanyam, 2001. "Feedback from Stock Prices to Cash Flows," Journal of Finance, American Finance Association, American Finance Association, vol. 56(6), pages 2389-2413, December.
  11. Eleswarapu, Venkat R. & Reinganum, Marc R., 1993. "The seasonal behavior of the liquidity premium in asset pricing," Journal of Financial Economics, Elsevier, Elsevier, vol. 34(3), pages 373-386, December.
  12. 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-.
  13. Chordia, Tarun & Subrahmanyam, Avanidhar & Anshuman, V. Ravi, 2001. "Trading activity and expected stock returns," Journal of Financial Economics, Elsevier, Elsevier, vol. 59(1), pages 3-32, January.
  14. 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.
  15. Alex Edmans, 2009. "Blockholder Trading, Market Efficiency, and Managerial Myopia," Journal of Finance, American Finance Association, American Finance Association, vol. 64(6), pages 2481-2513, December.
  16. Kothari, S P & Shanken, Jay & Sloan, Richard G, 1995. " Another Look at the Cross-Section of Expected Stock Returns," Journal of Finance, American Finance Association, American Finance Association, vol. 50(1), pages 185-224, March.
  17. Malcolm Baker & Jeremy C. Stein, 2002. "Market Liquidity as a Sentiment Indicator," Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research 1977, Harvard - Institute of Economic Research.
  18. Aitken, Michael & Comerton-Forde, Carole, 2003. "How should liquidity be measured?," Pacific-Basin Finance Journal, Elsevier, Elsevier, vol. 11(1), pages 45-59, January.
  19. David Easley & Maureen O'hara, 2004. "Information and the Cost of Capital," Journal of Finance, American Finance Association, American Finance Association, vol. 59(4), pages 1553-1583, 08.
  20. Marshall, Ben R. & Young, Martin, 2003. "Liquidity and stock returns in pure order-driven markets: evidence from the Australian stock market," International Review of Financial Analysis, Elsevier, Elsevier, vol. 12(2), pages 173-188.
  21. Marshall, Ben R., 2006. "Liquidity and stock returns: Evidence from a pure order-driven market using a new liquidity proxy," International Review of Financial Analysis, Elsevier, Elsevier, vol. 15(1), pages 21-38.
  22. Dimitri Vayanos, 1998. "Transaction costs and asset prices : a dynamic equilibrium model," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library 451, London School of Economics and Political Science, LSE Library.
  23. Jagannathan, Ravi & Wang, Zhenyu, 1996. " The Conditional CAPM and the Cross-Section of Expected Returns," Journal of Finance, American Finance Association, American Finance Association, vol. 51(1), pages 3-53, March.
  24. David Easley & Soeren Hvidkjaer & Maureen O'Hara, 2002. "Is Information Risk a Determinant of Asset Returns?," Journal of Finance, American Finance Association, American Finance Association, vol. 57(5), pages 2185-2221, October.
  25. Khanna, Naveen & Sonti, Ramana, 2004. "Value creating stock manipulation: feedback effect of stock prices on firm value," Journal of Financial Markets, Elsevier, Elsevier, vol. 7(3), pages 237-270, June.
  26. Shing-yang Hu, 1997. "Trading Turnover and Expected Stock Returns: The Trading Frequency Hypothesis and Evidence from the Tokyo Stock Exchange," Finance, EconWPA 9702001, EconWPA.
  27. Jun, Sang-Gyung & Marathe, Achla & Shawky, Hany A., 2003. "Liquidity and stock returns in emerging equity markets," Emerging Markets Review, Elsevier, Elsevier, vol. 4(1), pages 1-24, March.
  28. Bekaert, Geert & Harvey, Campbell R., 1997. "Emerging equity market volatility," Journal of Financial Economics, Elsevier, Elsevier, vol. 43(1), pages 29-77, January.
  29. 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.
  30. Fang, Vivian W. & Noe, Thomas H. & Tice, Sheri, 2009. "Stock market liquidity and firm value," Journal of Financial Economics, Elsevier, Elsevier, vol. 94(1), pages 150-169, October.
  31. 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.
  32. Heston, Steven L. & Sadka, Ronnie, 2008. "Seasonality in the cross-section of stock returns," Journal of Financial Economics, Elsevier, Elsevier, vol. 87(2), pages 418-445, February.
Full references (including those not matched with items on IDEAS)

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Diana MURESAN & Monica Ioana POP SILAGHI, 2013. "Turnover And Market Value In Capital Markets In The European Union," Romanian Journal of Economics, Institute of National Economy, Institute of National Economy, vol. 37(2(46)), pages 80-90, December.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:pra:mprapa:29862. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Ekkehart Schlicht).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.