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Market liquidity and stock returns in the Norwegian stock market
Finance Research Letters, 2017Abstract We analyze the liquidity sensitivity of stock returns in the Norwegian stock market over the period 1983–2015. Even though the liquidity measures we apply are standard in the literature, we find no evidence of a relationship between returns and market liquidity.
Thomas Leirvik +2 more
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Retail investors’ trading and stock market liquidity
The North American Journal of Economics and Finance, 2020Abstract The paper investigates the relation between retail investors’ participation in trading and aggregate stock market liquidity. The findings show a positive and significant relation between retail investors’ trading and stock market liquidity.
Menachem Meni Abudy
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Board Reforms, Stock Liquidity, and Stock Market Development
The Review of Corporate Finance Studies, 2022Abstract This paper studies the effect of board reforms on stock liquidity using data from 37 countries. We document that board reforms significantly increase stock liquidity: the effective spread on average decreases by 12.7% after a board reform.
Buhui Qiu, Thomas Y To
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Intraday liquidity patterns in Indian stock market [PDF]
Journal of Asian Economics, 2013 Abstract This paper is an empirical study of the intraday liquidity patterns on the National Stock Exchange (NSE) of India. Using trade and quotes data on stocks contained in the NIFTY index, we find that most of the volume and spread related to liquidity measures are U-shaped, similar to those found in a quote driven market.
R. Krishnan, Vinod Mishra
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Stock Market Declines and Liquidity
The Journal of Finance, 2006ABSTRACTConsistent with recent theoretical models where binding capital constraints lead to sudden liquidity dry‐ups, we find that negative market returns decrease stock liquidity, especially during times of tightness in the funding market. The asymmetric effect of changes in aggregate asset values on liquidity and commonality in liquidity cannot be ...
Hameed, A., Kang, W., Viswanathan, S.
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Market Maker Revenues and Stock Market Liquidity
SSRN Electronic Journal, 2007We use an 11-year panel of daily specialist revenues on individual NYSE stocks to explore the relationship between market-maker revenues and liquidity. If market makers suffer substantial trading losses, lenders may respond by increasing funding costs or reducing credit lines, and market makers should respond by reducing liquidity provision.
Carole Comerton-Forde +2 more
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Product market power and stock market liquidity
Journal of Financial Markets, 2011Abstract Theory predicts that since a firm with market power has more stable cash flows because of its ability to set prices in the product market, its stock price is less sensitive to order flow ( Peress, 2010 ), which results in greater stock liquidity.
Jayant R. Kale, Yee Cheng Loon
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Liquidity, Stock Markets, and Market Makers
Financial Management, 19870 One of the great features of that legal creature we call the corporation is how readily it facilitates transferring ownership in a business. Perhaps the most impressive consequence of that feature has been the development of organized stock markets, in which people can transfer their ownership in corporations without any direct negotiation or contact
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Liquidity, Skewness and Stock Returns: Evidence from Chinese Stock Market
Asia-Pacific Financial Markets, 2010In this paper, a capital asset pricing model (CAPM) incorporating liquidity and skewness factors is proposed and tested by using the Chinese stock market data. The empirical results indicate that, under various market conditions, the liquidity-adjusted three-moment CAPM provides a better fit to the realized returns of various stock portfolios. Overall,
Langnan Chen, Steven Li, Jinan Wang
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