Stock Liquidity and Return Distribution: Evidence from the London Stock Exchange

Andong Wang, Robert Hudson, Mark Rhodes, Sijia Zhang, Andros Gregoriou

Research output: Contribution to journalArticle

Abstract

We investigate the relationship between liquidity and the distribution of returns, for all listed firms on the London Stock Exchange between 2002–2018. We find a strong relationship between the distribution of returns, as measured by skewness and kurtosis, and liquidity.

Original languageEnglish
Article number101539
JournalFinance Research Letters
DOIs
Publication statusPublished - 12 May 2020

Keywords

  • Skewness
  • Kurtosis
  • Liquidity
  • Amihud ratio
  • Bid-ask spread
  • Zero-return days

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