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 › peer-review

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

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10.1016/j.econlet.2019.06.006

Economics_Letters_Revision_Final_2Accepted author manuscript, 213 KBLicence: CC BY-NC-ND

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Andros Gregoriou
- A.Gregoriou@brighton.ac.uk
- Brighton Business School - Professor in Finance
- Law, Society and Justice Research and Enterprise Group
- Centre for Change, Entrepreneurship and Innovation Management
Person: Academic

Cite this

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KW - German stock market

KW - Liquidity

KW - Stock returns

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

Abstract

Keywords

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Andros Gregoriou

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