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

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

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.",

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N2 - 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.

AB - 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.

KW - Amihud ratio

KW - China stock market

KW - German stock market

KW - Liquidity

KW - Stock returns

KW - UK stock market US stock market

UR - https://www.scopus.com/pages/publications/85069834409

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DO - 10.1016/j.econlet.2019.06.006

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VL - 186

JO - Economics Letters

JF - Economics Letters

M1 - 108500

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

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Keywords

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