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

Author

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  • 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

Suggested Citation

  • 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.
  • Handle: RePEc:pra:mprapa:29862
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    File URL: https://mpra.ub.uni-muenchen.de/29862/1/MPRA_paper_29862.pdf
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    References listed on IDEAS

    as
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    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, vol. 37(2(46)), pages 80-90, December.

    More about this item

    Keywords

    Liquidity; stock returns; Vietnam;

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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