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Liquidity, volume and dividend yields in stock return data: Evidence from London Stock Exchange

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  • Vasilakis, Chrysovalantis
  • Samitas, Aristeidis

Abstract

This paper investigates monthly liquidity in FTSE 100 equity index in London Stock Exchange over the period 1986 to 2005. The relationship between excess returns, order flow, dividend yields and earning-price ratio was examined using GARCH(1,1). The variables found insignificant, but the unexpected shocks were significant. This research also examined financial crises in October 1987 and in August 1998 as dummy variables in excess returns. These dummies found to have great impact in excess returns and seemed to be very significant. The results of our analysis appear to be in contrast with the existing literature.

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Bibliographic Info

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 30078.

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Date of creation: 2009
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Publication status: Published in International Journal of Financial Economics and Econometrics No2.Vol. 1(2009): pp. 79-88
Handle: RePEc:pra:mprapa:30078

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Keywords: GJR-GARCH models; liquidity; volume; dividend yields; earnings; excess returns;

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  1. Tarun Chordia & Asani Sarkar & Avanidhar Subrahmanyam, 2003. "An empirical analysis of stock and bond market liquidity," Staff Reports, Federal Reserve Bank of New York 164, Federal Reserve Bank of New York.
  2. Xing, Xuejing & Howe, John S., 2003. "The empirical relationship between risk and return: evidence from the UK stock market," International Review of Financial Analysis, Elsevier, Elsevier, vol. 12(3), pages 329-346.
  3. 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.
  4. Epps, Thomas W & Epps, Mary Lee, 1976. "The Stochastic Dependence of Security Price Changes and Transaction Volumes: Implications for the Mixture-of-Distributions Hypothesis," Econometrica, Econometric Society, Econometric Society, vol. 44(2), pages 305-21, March.
  5. Tauchen, George E & Pitts, Mark, 1983. "The Price Variability-Volume Relationship on Speculative Markets," Econometrica, Econometric Society, Econometric Society, vol. 51(2), pages 485-505, March.
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