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Liquidity and Expected Returns: Lessons from Emerging Markets

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Cited by:

  1. Prince Dubois HIKOUATCHA KENFACK, 2018. "determinants of Illiquidity on emerging stock markets:," Journal of Academic Finance, RED research unit, university of Gabes, Tunisia, vol. 9(2), pages 2-19, December.
  2. Dash, Saumya Ranjan & Maitra, Debasish, 2018. "Does sentiment matter for stock returns? Evidence from Indian stock market using wavelet approach," Finance Research Letters, Elsevier, vol. 26(C), pages 32-39.
  3. Stolowy, Hervé & Jeanjean, Thomas & Erkens, Michael, 2011. "The economic consequences of increasing the international visibility of financial reports," HEC Research Papers Series 957, HEC Paris.
  4. Chen, Catherine Huirong & Choy, Siu Kai & Tan, Yongxian, 2022. "The cash conversion cycle spread: International evidence," Journal of Banking & Finance, Elsevier, vol. 140(C).
  5. Shaista Arshad & Omair Haroon & Syed Aun R. Rizvi, 2019. "Understanding Asian Emerging Stock Markets," Bulletin of Monetary Economics and Banking, Bank Indonesia, vol. 0(12th BMEB), pages 1-16, January.
  6. Geert Bekaert & Campbell R. Harvey & Christian T. Lundblad & Stephan Siegel, 2011. "What Segments Equity Markets?," The Review of Financial Studies, Society for Financial Studies, vol. 24(12), pages 3841-3890.
  7. Schäfer, Larissa, 2015. "Essays in banking and international finance," Other publications TiSEM 54db9c22-05fa-4444-97d5-1, Tilburg University, School of Economics and Management.
  8. Gniadkowska-Szymańska Agata, 2017. "The impact of trading liquidity on the rate of return on emerging markets: the example of Poland and the Baltic countries," Financial Internet Quarterly (formerly e-Finanse), Sciendo, vol. 13(4), pages 136-148, December.
  9. Albuquerque, Rui & Schroth, Enrique, 2012. "The Value of Control and the Costs of Illiquidity," CEPR Discussion Papers 9090, C.E.P.R. Discussion Papers.
  10. Mohammad Tayeh, 2016. "Commonality in Liquidity in the Context of Different Trading Systems: Evidence from an Emerging Market," International Journal of Economics and Financial Issues, Econjournals, vol. 6(4), pages 1344-1353.
  11. de Groot, Wilma & Pang, Juan & Swinkels, Laurens, 2012. "The cross-section of stock returns in frontier emerging markets," Journal of Empirical Finance, Elsevier, vol. 19(5), pages 796-818.
  12. Vidović Jelena & Poklepović Tea & Aljinović Zdravka, 2014. "How to Measure Illiquidity on European Emerging Stock Markets?," Business Systems Research, Sciendo, vol. 5(3), pages 67-81, September.
  13. Holger Daske & Luzi Hail & Christian Leuz & Rodrigo Verdi, 2008. "Mandatory IFRS Reporting around the World: Early Evidence on the Economic Consequences," Journal of Accounting Research, Wiley Blackwell, vol. 46(5), pages 1085-1142, December.
  14. Chen, Qi & Goldstein, Itay & Jiang, Wei, 2010. "Payoff complementarities and financial fragility: Evidence from mutual fund outflows," Journal of Financial Economics, Elsevier, vol. 97(2), pages 239-262, August.
  15. Dr. Thomas Nitschka, 2012. "Global and country-specific business cycle risk in time-varying excess returns on asset markets," Working Papers 2012-10, Swiss National Bank.
  16. Będowska-Sójka, Barbara, 2018. "The coherence of liquidity measures. The evidence from the emerging market," Finance Research Letters, Elsevier, vol. 27(C), pages 118-123.
  17. Peter C. B. Phillips & Jun Yu, 2023. "Information loss in volatility measurement with flat price trading," Empirical Economics, Springer, vol. 64(6), pages 2957-2999, June.
  18. Ayelen Banegas, 2016. "Predictability of Growth in Emerging Markets: Information in Financial Aggregates," International Finance Discussion Papers 1174, Board of Governors of the Federal Reserve System (U.S.).
  19. Lieven Baele, 2010. "The Determinants of Stock and Bond Return Comovements," The Review of Financial Studies, Society for Financial Studies, vol. 23(6), pages 2374-2428, June.
  20. Guesmi, Khaled & Nguyen, Duc Khuong, 2011. "How strong is the global integration of emerging market regions? An empirical assessment," Economic Modelling, Elsevier, vol. 28(6), pages 2517-2527.
  21. Barbara Będowska-Sójka, 2021. "Is liquidity wasted? The zero-returns on the Warsaw Stock Exchange," Annals of Operations Research, Springer, vol. 297(1), pages 37-51, February.
  22. Stephanie E. Curcuru & Charles P. Thomas & Francis E. Warnock & Jon Wongswan, 2011. "US International Equity Investment and Past and Prospective Returns," American Economic Review, American Economic Association, vol. 101(7), pages 3440-3455, December.
  23. Nguyen, Nhut H. & Lo, Ka Hei, 2013. "Asset returns and liquidity effects: Evidence from a developed but small market," Pacific-Basin Finance Journal, Elsevier, vol. 21(1), pages 1175-1190.
  24. Joachim Gassen & Hollis A. Skaife & David Veenman, 2020. "Illiquidity and the Measurement of Stock Price Synchronicity," Contemporary Accounting Research, John Wiley & Sons, vol. 37(1), pages 419-456, March.
  25. Amir Akbari & Francesca Carrieri & Aytek Malkhozov, 2017. "Reversals in Global Market Integration and Funding Liquidity," International Finance Discussion Papers 1202, Board of Governors of the Federal Reserve System (U.S.).
  26. Pástor, Luboš & Stambaugh, Robert F., 2019. "Liquidity Risk After 20 Years," Critical Finance Review, now publishers, vol. 8(1-2), pages 277-299, December.
  27. Gagnon, Marie-Hélène & Gimet, Céline, 2013. "The impacts of standard monetary and budgetary policies on liquidity and financial markets: International evidence from the credit freeze crisis," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4599-4614.
  28. Juan Carlos Hatchondo & Leonardo Martinez, 2010. "The politics of sovereign defaults," Economic Quarterly, Federal Reserve Bank of Richmond, vol. 96(3Q), pages 291-317.
  29. Amihud, Yakov & Hameed, Allaudeen & Kang, Wenjin & Zhang, Huiping, 2015. "The illiquidity premium: International evidence," Journal of Financial Economics, Elsevier, vol. 117(2), pages 350-368.
  30. Das, Kuntal K. & Yaghoubi, Mona, 2023. "Stock liquidity and firm-level political risk," Finance Research Letters, Elsevier, vol. 51(C).
  31. Leopoldo Catania & Roberto Di Mari & Paolo Santucci de Magistris, 2019. "Dynamic discrete mixtures for high frequency prices," Discussion Papers 19/05, University of Nottingham, Granger Centre for Time Series Econometrics.
  32. Lieven Baele & Geert Bekaert & Koen Inghelbrecht & Min Wei, 2020. "Flights to Safety," The Review of Financial Studies, Society for Financial Studies, vol. 33(2), pages 689-746.
  33. 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.
  34. repec:gdk:wpaper:20 is not listed on IDEAS
  35. Jiang, Fuxiu & Ma, Yunbiao & Shi, Beibei, 2017. "Stock liquidity and dividend payouts," Journal of Corporate Finance, Elsevier, vol. 42(C), pages 295-314.
  36. Christian Meine & Hendrik Supper & Gregor Weiß, 2015. "Do CDS spreads move with commonality in liquidity?," Review of Derivatives Research, Springer, vol. 18(3), pages 225-261, October.
  37. Vu, Van & Chai, Daniel & Do, Viet, 2015. "Empirical tests on the liquidity-adjusted capital asset pricing model," Pacific-Basin Finance Journal, Elsevier, vol. 35(PA), pages 73-89.
  38. Czapkiewicz, Anna & Wójtowicz, Tomasz & Zaremba, Adam, 2023. "Idiosyncratic risk and cross-section of stock returns in emerging European markets," Economic Modelling, Elsevier, vol. 124(C).
  39. Won Seok Lee & Joonho Moon & Seoki Lee & Deborah Kerstetter, 2015. "Determinants of Systematic Risk in the Online Travel Agency Industry," Tourism Economics, , vol. 21(2), pages 341-355, April.
  40. Dirk Brounen & Piet Eichholtz & David Ling, 2009. "The Liquidity of Property Shares: An International Comparison," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 37(3), pages 413-445, September.
  41. Jianping Mei & Jose A. Scheinkman & Wei Xiong, 2009. "Speculative Trading and Stock Prices: Evidence from Chinese A-B Share Premia," Annals of Economics and Finance, Society for AEF, vol. 10(2), pages 225-255, November.
  42. Florackis, Chris & Gregoriou, Andros & Kostakis, Alexandros, 2011. "Trading frequency and asset pricing on the London Stock Exchange: Evidence from a new price impact ratio," Journal of Banking & Finance, Elsevier, vol. 35(12), pages 3335-3350.
  43. Christensen, Hans B. & Hail, Luzi & Leuz, Christian, 2010. "Capital-Market Effects of Securities Regulation: The Role of Implementation and Enforcement," Working Papers 241, The University of Chicago Booth School of Business, George J. Stigler Center for the Study of the Economy and the State.
  44. Białkowski, Jędrzej & Yaghoubi, Mona, 2021. "The Ramadan effect: A standalone anomaly or just a compensation for low liquidity?," Journal of Behavioral and Experimental Finance, Elsevier, vol. 30(C).
  45. Goyenko, Ruslan Y. & Holden, Craig W. & Trzcinka, Charles A., 2009. "Do liquidity measures measure liquidity?," Journal of Financial Economics, Elsevier, vol. 92(2), pages 153-181, May.
  46. Marshall, Ben R. & Nguyen, Nhut H. & Visaltanachoti, Nuttawat, 2013. "Liquidity measurement in frontier markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 27(C), pages 1-12.
  47. Lundblad, Christian T & Jotikasthira, Chotibhak, 2009. "Asset fire sales and purchases and the international transmission of financial shocks," CEPR Discussion Papers 7595, C.E.P.R. Discussion Papers.
  48. Saad, Mohsen & Samet, Anis, 2020. "Collectivism and commonality in liquidity," Journal of Business Research, Elsevier, vol. 116(C), pages 137-162.
  49. Ding, Mingfa & Nilsson, Birger & Suardi, Sandy, 2013. "Foreign Institutional Investors and Stock Market Liquidity in China: State Ownership, Trading Activity and Information Asymmetry," Knut Wicksell Working Paper Series 2013/14, Lund University, Knut Wicksell Centre for Financial Studies.
  50. Cotter, John & Sullivan, Niall O' & Rossi, Francesco, 2015. "The conditional pricing of systematic and idiosyncratic risk in the UK equity market," International Review of Financial Analysis, Elsevier, vol. 37(C), pages 184-193.
  51. Lin, Ji-Chai & Singh, Ajai K. & Yu, Wen, 2009. "Stock splits, trading continuity, and the cost of equity capital," Journal of Financial Economics, Elsevier, vol. 93(3), pages 474-489, September.
  52. Dinesh Gajurel & Akhila Chawla, 2022. "International Information Spillovers and Asymmetric Volatility in South Asian Stock Markets," JRFM, MDPI, vol. 15(10), pages 1-18, October.
  53. Atilgan, Yigit & Bali, Turan G. & Demirtas, K. Ozgur & Gunaydin, A. Doruk, 2019. "Global downside risk and equity returns," Journal of International Money and Finance, Elsevier, vol. 98(C), pages 1-1.
  54. Ying Jiang & Neil Kellard & Xiaoquan Liu, 2020. "Night trading and market quality: Evidence from Chinese and US precious metal futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(10), pages 1486-1507, October.
  55. Prince Hikouatcha & Arsène Aurelien Njamen Kengdo & Hans Patrick Bidias Menik & Pierre Ghislain Tchoffo Tioyem & Tii Njivukuh Nchofoung, 2023. "Microstructure and asset pricing: An insight on African frontier stock markets," Bulletin of Economic Research, Wiley Blackwell, vol. 75(4), pages 944-987, October.
  56. Daisy J. Huang & Charles Ka Yui Leung & Chung-Yi Tse, 2018. "What Accounts for the Differences in Rent-Price Ratio and Turnover Rate? A Search-and-Matching Approach," The Journal of Real Estate Finance and Economics, Springer, vol. 57(3), pages 431-475, October.
  57. Bali, Turan G. & Gunaydin, A. Doruk & Jansson, Thomas & Karabulut, Yigitcan, 2023. "Do the rich gamble in the stock market? Low risk anomalies and wealthy households," Journal of Financial Economics, Elsevier, vol. 150(2).
  58. Liu, Weimin & Luo, Di & Zhao, Huainan, 2016. "Transaction costs, liquidity risk, and the CCAPM," Journal of Banking & Finance, Elsevier, vol. 63(C), pages 126-145.
  59. Baruník, Jozef & Ellington, Michael, 2024. "Persistence in financial connectedness and systemic risk," European Journal of Operational Research, Elsevier, vol. 314(1), pages 393-407.
  60. Adam Zaremba & Jacob Koby Shemer, 2018. "Price-Based Investment Strategies," Springer Books, Springer, number 978-3-319-91530-2, September.
  61. José P. Dapena, 2014. "A short note on expected risk adjusted elasticity and consumer theory," CEMA Working Papers: Serie Documentos de Trabajo. 558, Universidad del CEMA.
  62. Rizvi, Syed Aun R. & Arshad, Shaista & Alam, Nafis, 2018. "A tripartite inquiry into volatility-efficiency-integration nexus - case of emerging markets," Emerging Markets Review, Elsevier, vol. 34(C), pages 143-161.
  63. Zheng, Xinwei & Su, Dan, 2017. "Impacts of oil price shocks on Chinese stock market liquidity," International Review of Economics & Finance, Elsevier, vol. 50(C), pages 136-174.
  64. Christian Leuz & Karl V. Lins & Francis E. Warnock, 2010. "Do Foreigners Invest Less in Poorly Governed Firms?," The Review of Financial Studies, Society for Financial Studies, vol. 23(3), pages 3245-3285, March.
  65. Prince Dubois HIKOUATCHA KENFACK, 2018. "the determinants of Illiquidity on emerging stock markets:," Journal of Academic Finance, RED research unit, university of Gabes, Tunisia, vol. 9(2), pages 2-19, December.
  66. Bussière, Matthieu & Hoerova, Marie & Klaus, Benjamin, 2015. "Commonality in hedge fund returns: Driving factors and implications," Journal of Banking & Finance, Elsevier, vol. 54(C), pages 266-280.
  67. Hong Zhao & Zixuan Jiao & Jianrong Wang & Amina Kamar, 2021. "Corporate Social Responsibility and Firm Liquidity Risk: U.S. Evidence," Sustainability, MDPI, vol. 13(22), pages 1-16, November.
  68. Chavaz, Matthieu & Flandreau, Marc, 2015. "‘High and dry’: the liquidity and credit of colonial and foreign government debt in the London Stock Exchange (1880–1910)," Bank of England working papers 555, Bank of England.
  69. Paul‐Olivier Klein & Laurent Weill, 2018. "Bond offerings in China : The role of ownership," The Economics of Transition, The European Bank for Reconstruction and Development, vol. 26(3), pages 363-399, July.
  70. Giuseppe Buccheri & Stefano Grassi & Giorgio Vocalelli, 2021. "Estimating Risk in Illiquid Markets: a Model of Market Friction with Stochastic Volatility," CEIS Research Paper 506, Tor Vergata University, CEIS, revised 08 Nov 2021.
  71. Abdullah EJAZ & Petr POLAK, 2013. "Short term momentum profits and their source: a business indicators' approach," Agricultural Economics, Czech Academy of Agricultural Sciences, vol. 59(12), pages 563-577.
  72. Lischewski, Judith & Voronkova, Svitlana, 2012. "Size, value and liquidity. Do They Really Matter on an Emerging Stock Market?," Emerging Markets Review, Elsevier, vol. 13(1), pages 8-25.
  73. Calomiris, Charles W. & Love, Inessa & Martínez Pería, María Soledad, 2012. "Stock returns’ sensitivities to crisis shocks: Evidence from developed and emerging markets," Journal of International Money and Finance, Elsevier, vol. 31(4), pages 743-765.
  74. Ding, Xiaoya (Sara) & Ni, Yang & Zhong, Ligang, 2016. "Free float and market liquidity around the world," Journal of Empirical Finance, Elsevier, vol. 38(PA), pages 236-257.
  75. Kwabi, Frank O. & Thapa, Chandra & Paudyal, Krishna & Adegbite, Emmanuel, 2017. "Biases in international portfolio allocation and investor protection standards," International Review of Financial Analysis, Elsevier, vol. 53(C), pages 66-79.
  76. Michaelides, Alexander & Nishiotis, George & Milidonis, Andreas & Papakyriacou, Panayiotis, 2012. "Sovereign Debt Rating Changes and the Stock Market," CEPR Discussion Papers 8743, C.E.P.R. Discussion Papers.
  77. Zhang, Heming & Wang, Guanying, 2021. "Reversal effect and corporate bond pricing in China," Pacific-Basin Finance Journal, Elsevier, vol. 70(C).
  78. Charlie Charoenwong & Beng Soon Chong & Yung Chiang Yang, 2014. "Asset Liquidity and Stock Liquidity: International Evidence," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 41(3-4), pages 435-468, April.
  79. Massa, Massimo & O'Donovan, James & Zhang, Hong, 2022. "International asset pricing with strategic business groups1," Journal of Financial Economics, Elsevier, vol. 145(2), pages 339-361.
  80. Muñoz, Francisco, 2013. "Liquidity and firm investment: Evidence for Latin America," Journal of Empirical Finance, Elsevier, vol. 20(C), pages 18-29.
  81. Mohsin Sadaqat & Hilal Anwar Butt, 2017. "Role of Liquidity in Explaining Anomalous Returns: Evidence from Emerging Market," Business & Economic Review, Institute of Management Sciences, Peshawar, Pakistan, vol. 9(3), pages 1-35, September.
  82. Edward A. E. Jones & Anthony K. Kyiu & Hao Li, 2021. "Earnings informativeness and trading frequency: Evidence from African markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 1064-1086, January.
  83. Harald Hau & Sandy Lai, 2017. "The Role of Equity Funds in the Financial Crisis Propagation," Review of Finance, European Finance Association, vol. 21(1), pages 77-108.
  84. Kosmidou, Kyriaki & Kousenidis, Dimitrios & Ladas, Anestis & Negkakis, Christos, 2020. "Regulation of capital flows: Effects on liquidity and the role of financial reporting quality," Journal of Economic Behavior & Organization, Elsevier, vol. 175(C), pages 86-97.
  85. Bai, Min & Qin, Yafeng, 2015. "Commonality in liquidity in emerging markets: Another supply-side explanation," International Review of Economics & Finance, Elsevier, vol. 39(C), pages 90-106.
  86. Bong‐Chan Kho & René M. Stulz & Francis E. Warnock, 2009. "Financial Globalization, Governance, and the Evolution of the Home Bias," Journal of Accounting Research, Wiley Blackwell, vol. 47(2), pages 597-635, May.
  87. Foo, Yee-Boon & Zain, Mazlina Mat, 2010. "Board independence, board diligence and liquidity in Malaysia: A research note," Journal of Contemporary Accounting and Economics, Elsevier, vol. 6(2), pages 92-100.
  88. Karstanje, Dennis & Sojli, Elvira & Tham, Wing Wah & van der Wel, Michel, 2013. "Economic valuation of liquidity timing," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 5073-5087.
  89. Donadelli, Michael & Paradiso, Antonio, 2014. "Is there heterogeneity in financial integration dynamics? Evidence from country and industry emerging market equity indexes," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 32(C), pages 184-218.
  90. Bekaert, Geert & Harvey, Campbell R. & Lundblad, Christian, 2011. "Financial Openness and Productivity," World Development, Elsevier, vol. 39(1), pages 1-19, January.
  91. Beber, Alessandro & Driessen, Joost & Neuberger, Anthony & Tuijp, Patrick, 2021. "Pricing Liquidity Risk with Heterogeneous Investment Horizons," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 56(2), pages 373-408, March.
  92. Xue Han & Zheng Jian, 2011. "Pricing liquidity risk and cost in the stock market: How different was the financial crisis?," Journal of Asset Management, Palgrave Macmillan, vol. 12(2), pages 109-122, June.
  93. Kucuk, Ugur N., 2009. "Dynamic Sources of Sovereign Bond Market Liquidity," MPRA Paper 19677, University Library of Munich, Germany.
  94. Liangbo Ma & Shiguang Ma & Gary Tian, 2017. "Corporate Opacity and Cost of Debt for Family Firms," European Accounting Review, Taylor & Francis Journals, vol. 26(1), pages 27-59, January.
  95. Liu, Yanbo & Phillips, Peter C.B., 2023. "Robust inference with stochastic local unit root regressors in predictive regressions," Journal of Econometrics, Elsevier, vol. 235(2), pages 563-591.
  96. Söhnke M. Bartram & Gregory Brown & René M. Stulz, 2012. "Why Are U.S. Stocks More Volatile?," Journal of Finance, American Finance Association, vol. 67(4), pages 1329-1370, August.
  97. Ravi Kashyap, 2016. "Hong Kong -- Shanghai Connect / Hong Kong -- Beijing Disconnect (?): Scaling the Great Wall of Chinese Securities Trading Costs," Papers 1603.01341, arXiv.org, revised Sep 2019.
  98. Bryan Kelly & Alexander Ljungqvist, 2012. "Testing Asymmetric-Information Asset Pricing Models," The Review of Financial Studies, Society for Financial Studies, vol. 25(5), pages 1366-1413.
  99. Ahmed, Walid M.A., 2021. "Stock market reactions to upside and downside volatility of Bitcoin: A quantile analysis," The North American Journal of Economics and Finance, Elsevier, vol. 57(C).
  100. Mr. Luis Brandão-Marques, 2016. "Stock Market Liquidity in Chile," IMF Working Papers 2016/223, International Monetary Fund.
  101. Carl A. Crittenden II & William F. Crittenden, 2014. "The Accounting Profession’S Role In Corporate Governance In Frontier Markets: A Research Agenda," Organizations and Markets in Emerging Economies, Faculty of Economics, Vilnius University, vol. 5(2).
  102. Bartram, Sohnke M. & Brown, Gregory & Stulz, Rene M., 2009. "Why Do Foreign Firms Have Less Idiosyncratic Risk Than U.S. Firms?," Working Paper Series 2009-5, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
  103. Ying Jiang & Shamim Ahmed & Xiaoquan Liu, 2017. "Volatility forecasting in the Chinese commodity futures market with intraday data," Review of Quantitative Finance and Accounting, Springer, vol. 48(4), pages 1123-1173, May.
  104. Pan, Beier, 2023. "The asymmetric dynamics of stock–bond liquidity correlation in China: The role of macro-financial determinants," Economic Modelling, Elsevier, vol. 124(C).
  105. Mazouz, Khelifa & Daya, Wael & Yin, Shuxing, 2014. "Index revisions, systematic liquidity risk and the cost of equity capital," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 33(C), pages 283-298.
  106. Mr. Gianni De Nicolo & Mr. Iryna V. Ivaschenko, 2009. "Global Liquidity, Risk Premiums and Growth Opportunities," IMF Working Papers 2009/052, International Monetary Fund.
  107. Mao Liang Li & Chin Man Chui & Chang Qing Li, 2014. "Dividend, liquidity and firm valuation: evidence from China AB share markets," Applied Financial Economics, Taylor & Francis Journals, vol. 24(9), pages 587-603, May.
  108. Alma Hales, 2015. "Liquidity and price discovery in Latin America: evidence from American depositary receipts," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 39(4), pages 661-678, October.
  109. de Carvalho, Antonio Gledson & Pennacchi, George G., 2012. "Can a stock exchange improve corporate behavior? Evidence from firms' migration to premium listings in Brazil," Journal of Corporate Finance, Elsevier, vol. 18(4), pages 883-903.
  110. Tran, Ly Thi Hai & Hoang, Thao Thi Phuong & Tran, Hoa Xuan, 2018. "Stock liquidity and ownership structure during and after the 2008 Global Financial Crisis: Empirical evidence from an emerging market," Emerging Markets Review, Elsevier, vol. 37(C), pages 114-133.
  111. J�rgen Ernstberger & Michael Stich & Oliver Vogler, 2012. "Economic Consequences of Accounting Enforcement Reforms: The Case of Germany," European Accounting Review, Taylor & Francis Journals, vol. 21(2), pages 217-251, August.
  112. George Milunovich & Jelena Minović, 2014. "Local and global illiquidity effects in the Balkans frontier markets," Applied Economics, Taylor & Francis Journals, vol. 46(31), pages 3861-3873, November.
  113. Gareth Campbell & John D. Turner & Qing Ye, 2018. "The liquidity of the London capital markets, 1825–70†," Economic History Review, Economic History Society, vol. 71(3), pages 823-852, August.
  114. Tomasz MIZIOLEK & Adam ZAREMBA, 2017. "Fundamental Indexation in European Emerging Markets," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 23-37, March.
  115. Smimou, K., 2014. "Consumer attitudes, stock market liquidity, and the macro economy: A Canadian perspective," International Review of Financial Analysis, Elsevier, vol. 33(C), pages 186-209.
  116. Prodromou, Tina & Demirer, Riza, 2022. "Oil price shocks and cost of capital: Does market liquidity play a role?," Energy Economics, Elsevier, vol. 115(C).
  117. Pawan Jain & Quentin Chu, 2014. "Dividend clienteles: a global investigation," Review of Quantitative Finance and Accounting, Springer, vol. 42(3), pages 509-534, April.
  118. Ulf Mohrmann & Jan Riepe & Ulrike Stefani, 2013. "Are Extensive Audits 'Good News'? Market Perceptions of Abnormal Audit Fees and Fair Value Disclosures," Working Paper Series of the Department of Economics, University of Konstanz 2013-08, Department of Economics, University of Konstanz.
  119. Viral V. Acharya & Hyun Song Shin & Tanju Yorulmazer, 2011. "Crisis Resolution and Bank Liquidity," Review of Financial Studies, Society for Financial Studies, vol. 24(6), pages 2166-2205.
  120. Hilal Anwar Butt & Nader Shahzad Virk, 2015. "Liquidity and Asset prices: An Empirical Investigation of the Nordic Stock Markets," European Financial Management, European Financial Management Association, vol. 21(4), pages 672-705, September.
  121. Xuan Vinh Vo, 2023. "Large Shareholders And Information Asymmetry In A Transition Economy €“ Evidence From Vietnam," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 68(05), pages 1551-1567, September.
  122. Acharya, Viral V. & Pedersen, Lasse Heje, 2005. "Asset pricing with liquidity risk," Journal of Financial Economics, Elsevier, vol. 77(2), pages 375-410, August.
  123. Butt, Hilal Anwar, 2015. "A comparison among various dimensions of illiquidity effect: A case study of Finland," Research in International Business and Finance, Elsevier, vol. 33(C), pages 204-220.
  124. Nguyen, Anh Duy, 2019. "Residual return reversals: European evidence," Research in International Business and Finance, Elsevier, vol. 50(C), pages 392-397.
  125. Flandreau, Marc & Chavaz, Matthieu, 2016. "“High & Dry†: The Liquidity and Credit of Colonial and Foreign Government Debt and the London Stock Exchange (1880-1910)," CEPR Discussion Papers 11679, C.E.P.R. Discussion Papers.
  126. Matthias Huss & Heinz Zimmermann, 2018. "The Pricing of Liquidity Risk in Buyout Funds – A Public Market Perspective," Schmalenbach Business Review, Springer;Schmalenbach-Gesellschaft, vol. 70(3), pages 285-312, July.
  127. Mika Vaihekoski, 2009. "Pricing of liquidity risk: empirical evidence from Finland," Applied Financial Economics, Taylor & Francis Journals, vol. 19(19), pages 1547-1557.
  128. Pham, Son Duy & Nguyen, Thao Thac Thanh & Do, Hung Xuan, 2022. "Effect of futures trading on the liquidity of underlying stocks: Evidence from Vietnam," Pacific-Basin Finance Journal, Elsevier, vol. 73(C).
  129. Daehwan Kim & Jung Inn Kim & Taeyoon Sung, 2013. "Stock market liberalization and price response: gradualism versus cold turkey," Applied Economics, Taylor & Francis Journals, vol. 45(3), pages 273-285, January.
  130. Majd Iskandrani & Asma'a Al-Amarneh, 2017. "The Effect of Ownership Composition on Stock's Liquidity: Evidence from Weak Corporate Governance Setting," International Journal of Economics and Financial Issues, Econjournals, vol. 7(3), pages 676-683.
  131. Gehrig, Thomas & Fohlin, Caroline & Haas, Marlene, 2015. "Rumors and Runs in Opaque Markets: Evidence from the Panic of 1907," CEPR Discussion Papers 10497, C.E.P.R. Discussion Papers.
  132. Annaert, Jan & De Ceuster, Marc & Verstegen, Kurt, 2013. "Are extreme returns priced in the stock market? European evidence," Journal of Banking & Finance, Elsevier, vol. 37(9), pages 3401-3411.
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