How do markets value stock liquidity? Comparative evidence from the UK, the US, Germany and China

被引：3
|
作者：
Liu, Guy [1 ]
Gregoriou, Andros [2 ]
Bo, Yibo [1 ]
机构：
[1] Peking Univ, Haidian, Peoples R China
[2] Univ Brighton, Brighton, E Sussex, England
来源：
ECONOMICS LETTERS | 2020年 / 186卷
关键词：
Liquidity; Stock returns; Amihud ratio; German stock market; UK stock market US stock market; China stock market; ILLIQUIDITY; BEHAVIOR; RETURNS; PREMIUM;
D O I：
10.1016/j.econlet.2019.06.006
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
We examine the relationship between stock liquidity and returns before, during and after the 2007-2009 financial crisis. We obtain evidence of a positive association for Germany and the UK, whereas China exhibits the opposite result and the US provides inconclusive evidence. Crown Copyright (C) 2019 Published by Elsevier B.V. All rights reserved.
引用
收藏
页数：4
相关论文
共 50 条
  • [1] Stock liquidity and firm value: evidence from China
    Zhang, Lijie
    Li, Yong
    Huang, Zhuo
    Chen, Xinhan
    APPLIED ECONOMICS LETTERS, 2018, 25 (01) : 47 - 50
  • [2] Transitions in the stock markets of the US, UK and Germany
    Raddant, Matthias
    Wagner, Friedrich
    QUANTITATIVE FINANCE, 2017, 17 (02) : 289 - 297
  • [3] Liquidity and stock returns: Evidence from international markets
    Chiang, Thomas C.
    Zheng, Dazhi
    GLOBAL FINANCE JOURNAL, 2015, 27 : 73 - 97
  • [4] Stock liquidity and free float: evidence from the UK
    El-Nader, Ghaith
    MANAGERIAL FINANCE, 2018, 44 (10) : 1227 - 1236
  • [5] Network characteristics and stock liquidity:Evidence from the UK
    Yang, Xin
    Jin, Cheng
    Huang, Chuangxia
    Yang, Xiaoguang
    FINANCE RESEARCH LETTERS, 2023, 53
  • [6] Do stock markets value green operations? Evidence from India
    Jadiyappa, Nemiraja
    Krishnankutty, Raveesh
    INTERNATIONAL JOURNAL OF MANAGERIAL FINANCE, 2022, 18 (04) : 661 - 676
  • [7] Bubbles in health care: Evidence from the US, UK, and German stock markets
    Chen, Mei-Ping
    Lin, Yu-Hui
    Tseng, Chun-Yao
    Chen, Wen-Yi
    NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE, 2015, 31 : 193 - 205
  • [8] Effect of stock liquidity on the economic value of patents: Evidence from US patent data
    Im, Hyun Joong
    Selvam, Srinivasan
    Tan, Kelvin J. K.
    INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS, 2024, 94
  • [9] Liquidity and asset pricing: Evidence from the Chinese stock markets
    Zhang, Tianyang
    Lence, Sergio H.
    NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE, 2022, 59
  • [10] Do Artificial Intelligence applications affect firm stock liquidity? Evidence from China
    Zhong, Yilin
    Zhong, Junhao
    Yang, Tianjian
    Han, Minghui
    Zhang, Qinghua
    APPLIED ECONOMICS LETTERS, 2025, 32 (02) : 204 - 209
12345