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Liquidity and stock returns: An alternative test

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Cited by:

  1. Huang, Roger D. & Masulis, Ronald W., 2003. "Trading activity and stock price volatility: evidence from the London Stock Exchange," Journal of Empirical Finance, Elsevier, vol. 10(3), pages 249-269, May.
  2. David Easley & Soeren Hvidkjaer & Maureen O'Hara, 2002. "Is Information Risk a Determinant of Asset Returns?," Journal of Finance, American Finance Association, vol. 57(5), pages 2185-2221, October.
  3. Alexander, Gordon J. & Ors, Evren & Peterson, Mark A. & Seguin, Paul J., 2004. "Margin regulation and market quality: a microstructure analysis," Journal of Corporate Finance, Elsevier, vol. 10(4), pages 549-574, September.
  4. 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.
  5. Rogers Ondiba Ochenge & Rose Ngugi & Peter Muriu & David McMillan, 2020. "Foreign equity flows and stock market liquidity in Kenya," Cogent Economics & Finance, Taylor & Francis Journals, vol. 8(1), pages 1781503-178, January.
  6. Guanhao Feng & Stefano Giglio & Dacheng Xiu, 2020. "Taming the Factor Zoo: A Test of New Factors," Journal of Finance, American Finance Association, vol. 75(3), pages 1327-1370, June.
  7. Balli, Faruk & Billah, Mabruk & Balli, Hatice Ozer & De Bruin, Anne, 2022. "Spillovers between Sukuks and Shariah-compliant equity markets," Pacific-Basin Finance Journal, Elsevier, vol. 72(C).
  8. Guobin Fan & Eric Girardin & Wong K. Wong & Yong Zeng, 2015. "The Risk of Individual Stocks’ Tail Dependence with the Market and Its Effect on Stock Returns," Discrete Dynamics in Nature and Society, Hindawi, vol. 2015, pages 1-17, November.
  9. Favero, Carlo & Pagano, Marco & von Thadden, Ernst-Ludwig, 2010. "How Does Liquidity Affect Government Bond Yields?," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 45(1), pages 107-134, February.
  10. Barinov, Alexander, 2017. "Institutional ownership and aggregate volatility risk," Journal of Empirical Finance, Elsevier, vol. 40(C), pages 20-38.
  11. Hearn, Bruce, 2010. "Time varying size and liquidity effects in South Asian equity markets: A study of blue-chip industry stocks," International Review of Financial Analysis, Elsevier, vol. 19(4), pages 242-257, September.
  12. Nagel, Stefan, 2005. "Short sales, institutional investors and the cross-section of stock returns," Journal of Financial Economics, Elsevier, vol. 78(2), pages 277-309, November.
  13. Zhang, Bing & Chen, Wei & Yeh, Chung-Ying, 2021. "Turnover premia in China's stock markets," Pacific-Basin Finance Journal, Elsevier, vol. 65(C).
  14. Dey, Malay K., 2005. "Turnover and return in global stock markets," Emerging Markets Review, Elsevier, vol. 6(1), pages 45-67, April.
  15. 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.
  16. Kumari, Jyoti, 2019. "Investor sentiment and stock market liquidity: Evidence from an emerging economy," Journal of Behavioral and Experimental Finance, Elsevier, vol. 23(C), pages 166-180.
  17. Khemraj, Tarron & Pasha, Sukrishnalall, 2008. "Foreign exchange market bid-ask spread and market power in an underdeveloped economy," MPRA Paper 11422, University Library of Munich, Germany.
  18. Aslan, Hadiye & Easley, David & Hvidkjaer, Soeren & O'Hara, Maureen, 2011. "The characteristics of informed trading: Implications for asset pricing," Journal of Empirical Finance, Elsevier, vol. 18(5), pages 782-801.
  19. Hearn, Bruce, 2011. "Modelling size and liquidity in North African industrial sectors," Emerging Markets Review, Elsevier, vol. 12(1), pages 21-46, March.
  20. Karahan, Cenk C. & Soykök, Emre, 2023. "On illiquidity of an emerging sovereign bond market," Economic Systems, Elsevier, vol. 47(2).
  21. Aouadi, Amal & Arouri, Mohamed & Roubaud, David, 2018. "Information demand and stock market liquidity: International evidence," Economic Modelling, Elsevier, vol. 70(C), pages 194-202.
  22. Nielsson, Ulf, 2009. "Stock exchange merger and liquidity: The case of Euronext," Journal of Financial Markets, Elsevier, vol. 12(2), pages 229-267, May.
  23. Chang Liu & Bowen Deng, 2023. "Is it really paid for sustainable development? The economic significance of firms' green practice," Sustainable Development, John Wiley & Sons, Ltd., vol. 31(2), pages 908-925, April.
  24. Wu-Jen Chuang & Liang-Yuh Ou-Yang & Wen-Chen Lo, 2009. "Nonlinear Market Dynamics Between Stock Returns And Trading Volume: Empirical Evidences From Asian Stock Markets," Analele Stiintifice ale Universitatii "Alexandru Ioan Cuza" din Iasi - Stiinte Economice (1954-2015), Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, vol. 56, pages 621-634, November.
  25. Schäfer, Larissa, 2015. "Essays in banking and international finance," Other publications TiSEM 54db9c22-05fa-4444-97d5-1, Tilburg University, School of Economics and Management.
  26. Chen, Xuanjuan & Kim, Kenneth A. & Yao, Tong & Yu, Tong, 2010. "On the predictability of Chinese stock returns," Pacific-Basin Finance Journal, Elsevier, vol. 18(4), pages 403-425, September.
  27. Yakov Amihud & Haim Mendelson, 2012. "Liquidity, the Value of the Firm, and Corporate Finance," Journal of Applied Corporate Finance, Morgan Stanley, vol. 24(1), pages 17-32, March.
  28. 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.
  29. Maria Ludovica Drudi & Giulio Carlo Venturi, 2023. "Assessing the liquidity premium in the Italian bond market," Questioni di Economia e Finanza (Occasional Papers) 795, Bank of Italy, Economic Research and International Relations Area.
  30. Chen, Xiaoyu & Chiang, Thomas C., 2020. "Empirical investigation of changes in policy uncertainty on stock returns—Evidence from China’s market," Research in International Business and Finance, Elsevier, vol. 53(C).
  31. Feng, Shih-Ping & Hung, Mao-Wei & Wang, Yaw-Huei, 2016. "The importance of stock liquidity on option pricing," International Review of Economics & Finance, Elsevier, vol. 43(C), pages 457-467.
  32. Blau, Benjamin M. & Griffith, Todd G. & Whitby, Ryan J., 2018. "The maximum bid-ask spread," Journal of Financial Markets, Elsevier, vol. 41(C), pages 1-16.
  33. Radygin, Alexander (Радыгин, Александр) & Akshentceva, Kseniia (Акшенцева, Ксения) & Chernovа, Maria (Чернова, Мария) & Abramov, Alexander (Абрамов, Александр), 2017. "Factors Affecting the Liquidity of Corporate Bonds [Факторы, Влияющие На Ликвидность Корпоративных Облигаций]," Working Papers 041706, Russian Presidential Academy of National Economy and Public Administration.
  34. Wermers, Russ, 2006. "Performance evaluation with portfolio holdings information," The North American Journal of Economics and Finance, Elsevier, vol. 17(2), pages 207-230, August.
  35. Hoang, Khoa & Cannavan, Damien & Gaunt, Clive & Huang, Ronghong, 2019. "Is that factor just lucky? Australian evidence," Pacific-Basin Finance Journal, Elsevier, vol. 57(C).
  36. Azwar Abdulsalam & Gowri Jayprakash & Abhijeet Chandra, 2020. "On the Pricing of Currency Options under Variance Gamma Process," Papers 2009.14113, arXiv.org.
  37. Zaremba, Adam & Bilgin, Mehmet Huseyin & Long, Huaigang & Mercik, Aleksander & Szczygielski, Jan J., 2021. "Up or down? Short-term reversal, momentum, and liquidity effects in cryptocurrency markets," International Review of Financial Analysis, Elsevier, vol. 78(C).
  38. Chen Yang, 2015. "An Empirical Study of Liquidity and Return Autocorrelations in the Chinese Stock Market," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 22(3), pages 261-282, September.
  39. Pereira, João Pedro & Zhang, Harold H., 2010. "Stock Returns and the Volatility of Liquidity," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 45(4), pages 1077-1110, August.
  40. 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.
  41. 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.
  42. Chan, Howard W. & Faff, Robert W., 2003. "An investigation into the role of liquidity in asset pricing: Australian evidence," Pacific-Basin Finance Journal, Elsevier, vol. 11(5), pages 555-572, November.
  43. Manapon Limkriangkrai & Robert B. Durand & Iain Watson, 2008. "Is liquidity the missing link?," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 48(5), pages 829-845, December.
  44. Kuntara Pukthuanthong-Le & Nuttawat Visaltanachoti, 2009. "Idiosyncratic volatility and stock returns: a cross country analysis," Applied Financial Economics, Taylor & Francis Journals, vol. 19(16), pages 1269-1281.
  45. Bilinski, Pawel & Liu, Weimin & Strong, Norman, 2012. "Does liquidity risk explain low firm performance following seasoned equity offerings?," Journal of Banking & Finance, Elsevier, vol. 36(10), pages 2770-2785.
  46. Naughton, Tony & Truong, Cameron & Veeraraghavan, Madhu, 2008. "Momentum strategies and stock returns: Chinese evidence," Pacific-Basin Finance Journal, Elsevier, vol. 16(4), pages 476-492, September.
  47. Doron Avramov & Guy Kaplanski & Avanidhar Subrahmanyam, 2022. "Postfundamentals Price Drift in Capital Markets: A Regression Regularization Perspective," Management Science, INFORMS, vol. 68(10), pages 7658-7681, October.
  48. Ali, Searat & Liu, Benjamin & Su, Jen Je, 2017. "Corporate governance and stock liquidity dimensions: Panel evidence from pure order-driven Australian market," International Review of Economics & Finance, Elsevier, vol. 50(C), pages 275-304.
  49. Ahmad Fraz & Arshad Hassan, 2017. "Stock Price Synchronicity and Information Environment," Business & Economic Review, Institute of Management Sciences, Peshawar, Pakistan, vol. 9(4), pages 213-232, December.
  50. Shen, Yiran & Liu, Chang & Sun, Xiaolei & Guo, Kun, 2023. "Investor sentiment and the Chinese new energy stock market: A risk–return perspective," International Review of Economics & Finance, Elsevier, vol. 84(C), pages 395-408.
  51. Shweta Kundlia & Divya Verma, 2021. "Illiquidity Premium in the Indian Stock Market: An Empirical Study," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 11(6), pages 501-511, June.
  52. Hou, Kewei & Xue, Chen & Zhang, Lu, 2017. "Replicating Anomalies," Working Paper Series 2017-10, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
  53. Petrus H. Ferreira & Roman Kräussl & Wayne R. Landsman & Maria Nykyforovych Borysoff & Peter F. Pope, 2019. "Reliability and relevance of fair values: private equity investments and investee fundamentals," Review of Accounting Studies, Springer, vol. 24(4), pages 1427-1449, December.
  54. Konstantinos Konstantaras & Vasilios Sogiakas, 2019. "Is stock liquidity transferred and upgraded in acquisitions? Evidence from liquidity synergies in US freeze-outs," Annals of Operations Research, Springer, vol. 282(1), pages 179-216, November.
  55. Liao, Cunfei & Luo, Qianlin & Tang, Guohao, 2021. "Aggregate liquidity premium and cross-sectional returns: Evidence from China," Economic Modelling, Elsevier, vol. 104(C).
  56. Randi Næs & Bernt Arne Ødegaard, 2008. "Liquidity and asset pricing: Evidence on the role of investor holding period," Working Paper 2007/11, Norges Bank.
  57. Stereńczak, Szymon & Zaremba, Adam & Umar, Zaghum, 2020. "Is there an illiquidity premium in frontier markets?," Emerging Markets Review, Elsevier, vol. 42(C).
  58. 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.
  59. R. Jared DeLisle & Mengying Wang & H. Zafer Yüksel & Gulnara R. Zaynutdinova, 2024. "The effects of import competition on domestic financial markets: The role of limits-to-arbitrage," Journal of International Business Studies, Palgrave Macmillan;Academy of International Business, vol. 55(2), pages 212-234, March.
  60. Donadelli, Michael & Prosperi, Lorenzo, 2012. "On the role of liquidity in emerging markets stock prices," Research in Economics, Elsevier, vol. 66(4), pages 320-348.
  61. Jia Jia Hing & Yee Peng Chow, 2022. "Influence of institutional investor heterogeneity on stock liquidity and its underlying liquidity channels," International Journal of Business and Emerging Markets, Inderscience Enterprises Ltd, vol. 14(3), pages 252-278.
  62. Acharya, Viral V. & Pedersen, Lasse Heje, 2005. "Asset pricing with liquidity risk," Journal of Financial Economics, Elsevier, vol. 77(2), pages 375-410, August.
  63. Andrew Ellul & Marco Pagano, 2006. "IPO Underpricing and After-Market Liquidity," The Review of Financial Studies, Society for Financial Studies, vol. 19(2), pages 381-421.
  64. Wahyudi, Imam & Robbi, Abdu, 2009. "Exploring Determinant Factors of Bond Trading with Inventory Management Theory (Case Study of Indonesian Capital Market, January – March 2009)," MPRA Paper 59883, University Library of Munich, Germany, revised 16 Jul 2010.
  65. Priyanka Naik & B G Poornima & Y V Reddy, 2020. "Measuring liquidity in Indian stock market: A dimensional perspective," PLOS ONE, Public Library of Science, vol. 15(9), pages 1-17, September.
  66. Brockman, Paul & Chung, Dennis Y., 2001. "Managerial timing and corporate liquidity: *1: evidence from actual share repurchases," Journal of Financial Economics, Elsevier, vol. 61(3), pages 417-448, September.
  67. Benjamin M. Blau & Ryan J. Whitby, 2015. "The Volatility of Bid-Ask Spreads," Financial Management, Financial Management Association International, vol. 44(4), pages 851-874, October.
  68. Auer, Benjamin R. & Rottmann, Horst, 2019. "Have capital market anomalies worldwide attenuated in the recent era of high liquidity and trading activity?," Journal of Economics and Business, Elsevier, vol. 103(C), pages 61-79.
  69. Ran Lu-Andrews & John L. Glascock, 2017. "Liquidity, Price Behavior, and Market-related Events," Eastern Economic Journal, Palgrave Macmillan;Eastern Economic Association, vol. 43(2), pages 318-351, March.
  70. Amihud, Yakov, 2002. "Illiquidity and stock returns: cross-section and time-series effects," Journal of Financial Markets, Elsevier, vol. 5(1), pages 31-56, January.
  71. Bazgour Tarik & Heuchenne Cedric & Hübner Georges & Sougné Danielle, 2021. "How do volatility regimes affect the pricing of quality and liquidity in the stock market?," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 25(1), pages 1-17, February.
  72. Hsiao-Peng Fu, 2014. "Long-Term Profitability of Volume-Based Price Momentum in Taiwan," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 5(2), pages 1-7, April.
  73. Oleh Danyliv & Bruce Bland & Daniel Nicholass, 2014. "Convenient liquidity measure for Financial markets," Papers 1412.5072, arXiv.org.
  74. Zhang, Yue, 2015. "The securitization of gold and its potential impact on gold stocks," Journal of Banking & Finance, Elsevier, vol. 58(C), pages 309-326.
  75. Daniel Chai & Robert Faff & Philip Gharghori, 2013. "Liquidity in asset pricing: New Australian evidence using low-frequency data," Australian Journal of Management, Australian School of Business, vol. 38(2), pages 375-400, August.
  76. R. P. Brito & H. Sebastião & P. Godinho, 2017. "Portfolio choice with high frequency data: CRRA preferences and the liquidity effect," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, vol. 16(2), pages 65-86, August.
  77. Ng, Chi Cheong Allen & Shen, Jianfu, 2016. "Screen winners from losers using simple fundamental analysis in the Pacific-Basin stock markets," Pacific-Basin Finance Journal, Elsevier, vol. 39(C), pages 159-177.
  78. Campbell R. Harvey & Yan Liu & Heqing Zhu, 2014. ". . . and the Cross-Section of Expected Returns," NBER Working Papers 20592, National Bureau of Economic Research, Inc.
  79. Gniadkowska-Szymańska Agata, 2017. "Impact of a Company’s Dividend Policy on the Liquidity of Shares Listed on the Warsaw Stock Exchange," Financial Internet Quarterly (formerly e-Finanse), Sciendo, vol. 13(3), pages 24-32, September.
  80. Bazgour, Tarik & Heuchenne, Cedric & Sougné, Danielle, 2016. "Conditional portfolio allocation: Does aggregate market liquidity matter?," Journal of Empirical Finance, Elsevier, vol. 35(C), pages 110-135.
  81. Wang, Xue & Yan, Xuemin (Sterling) & Zheng, Lingling, 2020. "Shorting flows, public disclosure, and market efficiency," Journal of Financial Economics, Elsevier, vol. 135(1), pages 191-212.
  82. Olivier Ledoit & Michael Wolf & Zhao Zhao, 2016. "Efficient Sorting: A More Powerful Test for Cross-Sectional Anomalies," ECON - Working Papers 238, Department of Economics - University of Zurich, revised May 2018.
  83. Manapon Limkriangkrai & Robert Durand & Iain Watson, 2009. "A robustness test of asset-pricing models using individual security returns," Applied Economics Letters, Taylor & Francis Journals, vol. 16(6), pages 629-637.
  84. 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.
  85. Saad, Mohsen & Samet, Anis, 2017. "Liquidity and the implied cost of equity capital," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 51(C), pages 15-38.
  86. Zeynep Cobandag Guloglu & Cumhur Ekinci, 2022. "Liquidity measurement: A comparative review of the literature with a focus on high frequency," Journal of Economic Surveys, Wiley Blackwell, vol. 36(1), pages 41-74, February.
  87. Brockman, Paul & Chung, Dennis Y., 1999. "An analysis of depth behavior in an electronic, order-driven environment," Journal of Banking & Finance, Elsevier, vol. 23(12), pages 1861-1886, December.
  88. Naresh Kumar Devulapally & Tulasi Narendra Das Tripurana, 2023. "Physical Momentum in the Indian Stock Market," Papers 2302.13245, arXiv.org.
  89. Wang, Xiaoqiong & Wei, Siqi, 2021. "Does the investment horizon of institutional investors matter for stock liquidity?," International Review of Financial Analysis, Elsevier, vol. 74(C).
  90. Eduard Baitinger & Christian Fieberg & Thorsten Poddig & Armin Varmaz, 2015. "Liquidity-driven approach to dynamic asset allocation: evidence from the German stock market," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 29(4), pages 365-379, November.
  91. 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.
  92. 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.
  93. Rui Pedro Brito & Hélder Sebastião & Pedro Godinho, 2016. "Portfolio Choice with High Frequency Data: CRRA Preferences and the Liquidity Effect," GEMF Working Papers 2016-13, GEMF, Faculty of Economics, University of Coimbra.
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  99. Darolles, Serge & Fol, Gaëlle Le & Mero, Gulten, 2015. "Measuring the liquidity part of volume," Journal of Banking & Finance, Elsevier, vol. 50(C), pages 92-105.
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  101. Bajzik, Josef, 2021. "Trading volume and stock returns: A meta-analysis," International Review of Financial Analysis, Elsevier, vol. 78(C).
  102. 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).
  103. Michael E. Drew & Alastair Marsden & Madhu Veeraraghavan, 2006. "Small Firm Effect, Liquidity and Security Returns," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 5(2), pages 135-149, August.
  104. Batten, Jonathan A. & Vo, Xuan Vinh, 2015. "Foreign ownership in emerging stock markets," Journal of Multinational Financial Management, Elsevier, vol. 32, pages 15-24.
  105. Thomas Paul & Thomas Walther & André Küster-Simic, 2022. "Empirical analysis of the illiquidity premia of German real estate securities," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 36(2), pages 203-260, June.
  106. Gow-Cheng Huang & Kartono Liano & Ming-Shiun Pan, 2015. "The effects of stock splits on stock liquidity," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 39(1), pages 119-135, January.
  107. Sun, Kaisi & Wang, Hui & Zhu, Yifeng, 2023. "Salience theory in price and trading volume: Evidence from China," Journal of Empirical Finance, Elsevier, vol. 70(C), pages 38-61.
  108. G.S Morgan & Peter N. Smith & S.H. Thomas, "undated". "Portfolio return autocorrelation and non-synchronous trading in UK equities," Discussion Papers 00/46, Department of Economics, University of York.
  109. Dey, Malay K. & Wang, Chaoyan, 2012. "Return spread and liquidity: Evidence from Hong Kong ADRs," Research in International Business and Finance, Elsevier, vol. 26(2), pages 164-180.
  110. Nina Karnaukh & Angelo Ranaldo & Paul Söderlind, 2015. "Understanding FX Liquidity," The Review of Financial Studies, Society for Financial Studies, vol. 28(11), pages 3073-3108.
  111. Lai, Karen M.Y. & Saffar, Walid & Zhu, Xindong (Kevin) & Liu, Yiye, 2020. "Political institutions, stock market liquidity and firm dividend policy: Some international evidence," Journal of Contemporary Accounting and Economics, Elsevier, vol. 16(1).
  112. Lee, Kuan-Hui & Sapriza, Horacio & Wu, Yangru, 2016. "Sovereign debt ratings and stock liquidity around the World," Journal of Banking & Finance, Elsevier, vol. 73(C), pages 99-112.
  113. Wang, Steven Shuye & Jiang, Li, 2004. "Location of trade, ownership restrictions, and market illiquidity: Examining Chinese A- and H-shares," Journal of Banking & Finance, Elsevier, vol. 28(6), pages 1273-1297, June.
  114. Ai-Chi Hsu & Show-Yen Lai & Lien-Hui Chao, 2014. "Information Transmission Effects between A and H Dual Listing Shares," Global Journal of Business Research, The Institute for Business and Finance Research, vol. 8(5), pages 27-40.
  115. Florackis, Chris & Kostakis, Alexandros & Kontonikas, Alexandros, 2011. "Transmission of macro-liquidity shocks to liquidity-sorted stock portfolios’ returns: The role of the financial crisis," SIRE Discussion Papers 2011-31, Scottish Institute for Research in Economics (SIRE).
  116. Hanauer, Matthias X. & Kalsbach, Tobias, 2023. "Machine learning and the cross-section of emerging market stock returns," Emerging Markets Review, Elsevier, vol. 55(C).
  117. Vaalmikki Argoon & Spiros Bougheas & Chris Milner, 2013. "Lead-Lag Relationships and Institutional Ownership: Evidence from an Embryonic Equity Market," Discussion Papers 2013/08, University of Nottingham, Centre for Finance, Credit and Macroeconomics (CFCM).
  118. Roll, Richard & Schwartz, Eduardo & Subrahmanyam, Avanidhar, 2014. "Trading activity in the equity market and its contingent claims: An empirical investigation," Journal of Empirical Finance, Elsevier, vol. 28(C), pages 13-35.
  119. Chiang, Thomas C. & Zheng, Dazhi, 2015. "Liquidity and stock returns: Evidence from international markets," Global Finance Journal, Elsevier, vol. 27(C), pages 73-97.
  120. Keith S. K. Lam & Liang Dong & Bo Yu, 2019. "Value Premium and Technical Analysis: Evidence from the China Stock Market," Economies, MDPI, vol. 7(3), pages 1-21, September.
  121. Dionysia Dionysiou, 2015. "Choosing Among Alternative Long-Run Event-Study Techniques," Journal of Economic Surveys, Wiley Blackwell, vol. 29(1), pages 158-198, February.
  122. Matthias Bank & Martin Larch & Georg Peter, 2011. "Google search volume and its influence on liquidity and returns of German stocks," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 25(3), pages 239-264, September.
  123. Narayan, Paresh Kumar & Zheng, Xinwei, 2011. "The relationship between liquidity and returns on the Chinese stock market," Journal of Asian Economics, Elsevier, vol. 22(3), pages 259-266, June.
  124. Lin, Chaonan & Ko, Kuan-Cheng & Lu, Chien-Lin, 2023. "Why is the Amihud (2002) measure priced in Taiwan: Illiquidity or mispricing?," Pacific-Basin Finance Journal, Elsevier, vol. 79(C).
  125. Tobek, Ondrej & Hronec, Martin, 2021. "Does it pay to follow anomalies research? Machine learning approach with international evidence," Journal of Financial Markets, Elsevier, vol. 56(C).
  126. 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.
  127. Byomakesh Debata & Jitendra Mahakud, 2018. "Interdependence between Monetary Policy and Stock Liquidity: A Panel VAR Approach," Margin: The Journal of Applied Economic Research, National Council of Applied Economic Research, vol. 12(4), pages 387-413, November.
  128. Dimitri Vayanos & Jiang Wang, 2012. "Market Liquidity -- Theory and Empirical Evidence," NBER Working Papers 18251, National Bureau of Economic Research, Inc.
  129. Chuang, Wen-I & Lee, Hsiu-Chuan, 2010. "The Impact of Short-Sales Constraints on Liquidity and the Liquidity-Return Relations," Pacific-Basin Finance Journal, Elsevier, vol. 18(5), pages 521-535, November.
  130. Fu, Fangjian, 2009. "Idiosyncratic risk and the cross-section of expected stock returns," Journal of Financial Economics, Elsevier, vol. 91(1), pages 24-37, January.
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