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

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

doi:10.1016/j.frl.2020.101539

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

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

Law, Society and Justice Research Excellence Group

Research output: Contribution to journal › Article › peer-review

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 language	English
Article number	101539
Journal	Finance Research Letters
DOIs	https://doi.org/10.1016/j.frl.2020.101539
Publication status	Published - 12 May 2020

Keywords

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

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10.1016/j.frl.2020.101539

Stock Liquidity and Return Distribution: Evidence from the London Stock ExchangeAccepted author manuscript, 292 KBLicence: CC BY-NC-ND

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title = "Stock Liquidity and Return Distribution: Evidence from the London Stock Exchange",

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.",

keywords = "Skewness, Kurtosis, Liquidity, Amihud ratio, Bid-ask spread, Zero-return days",

author = "Andong Wang and Robert Hudson and Mark Rhodes and Sijia Zhang and Andros Gregoriou",

year = "2020",

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T2 - Evidence from the London Stock Exchange

AU - Wang, Andong

AU - Hudson, Robert

AU - Rhodes, Mark

AU - Zhang, Sijia

AU - Gregoriou, Andros

PY - 2020/5/12

Y1 - 2020/5/12

N2 - 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.

AB - 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.

KW - Skewness

KW - Kurtosis

KW - Liquidity

KW - Amihud ratio

KW - Bid-ask spread

KW - Zero-return days

UR - https://www.scopus.com/pages/publications/85084832650

U2 - 10.1016/j.frl.2020.101539

DO - 10.1016/j.frl.2020.101539

M3 - Article

JO - Finance Research Letters

JF - Finance Research Letters

M1 - 101539

ER -

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

Abstract

Keywords

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