How do Markets Value Stock Liquidity? Comparative Evidence from the UK, the US, Germany and China

Guy Liu; Andros Gregoriou; Yibo Bo

doi:10.1016/j.econlet.2019.06.006

How do Markets Value Stock Liquidity? Comparative Evidence from the UK, the US, Germany and China

Guy Liu, Andros Gregoriou, Yibo Bo

Brighton Business School

Research output: Contribution to journal › Article

Abstract

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.

Original language	English
Article number	108500
Journal	Economics Letters
Volume	186
DOIs	https://doi.org/10.1016/j.econlet.2019.06.006
Publication status	Published - 24 Jul 2019

Keywords

Amihud ratio
China stock market
German stock market
Liquidity
Stock returns
UK stock market US stock market

Access to Document

10.1016/j.econlet.2019.06.006

Link to publication in Scopus

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Economics_Letters_Revision_Final_2
Accepted author manuscript, 213 KB
Licence: CC BY-NC-ND
Embargo ends: 24/01/21

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Profiles

Andros Gregoriou

A.Gregoriou@brighton.ac.uk

Brighton Business School - Professor in Finance
Centre for Change, Entrepreneurship and Innovation Management

Person: Academic

Cite this

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, [108500]. https://doi.org/10.1016/j.econlet.2019.06.006

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