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.
|Publication status||Published - 24 Jul 2019|
- Amihud ratio
- China stock market
- German stock market
- Stock returns
- UK stock market US stock market
Liu, G., Gregoriou, A., & Bo, Y. (2019). How do Markets Value Stock Liquidity? Comparative Evidence from the UK, the US, Germany and China. Economics Letters, 186, . https://doi.org/10.1016/j.econlet.2019.06.006