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Journal articles on the topic 'Stock market liquidity'

Author: Grafiati

Published: 4 June 2021

Last updated: 26 July 2025

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1

Stereńczak, Szymon. "Conditional stock liquidity premium: is Warsaw stock exchange different?" Studies in Economics and Finance 38, no. 1 (2021): 67–85. http://dx.doi.org/10.1108/sef-03-2020-0075.

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Purpose This paper aims to empirically indicate the factors influencing stock liquidity premium (i.e. the relationship between liquidity and stock returns) in one of the leading European emerging markets, namely, the Polish one. Design/methodology/approach Various firms’ characteristics and market states are analysed as potentially affecting liquidity premiums in the Polish stock market. Stock returns are regressed on liquidity measures and panel models are used. Liquidity premium has been estimated in various subsamples. Findings The findings vividly contradict the common sense that liquidity

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2

Outa, Erick Rading, Nelson Maina Waweru, and Peterson Kitakogelu Ozili. "Security market regulation: antecedents for capital market confidence in frontier markets." Accounting Research Journal 31, no. 2 (2018): 157–73. http://dx.doi.org/10.1108/arj-10-2015-0130.

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PurposeThe purpose of this study is to examine the capital market effects of corporate governance (CG) practices of a “comply or explain” environment on stock market liquidity in a frontier market.Design/methodology/approachUsing secondary data from Nairobi Securities Exchange, the liquidity position is analyzed using panel data random effects regression against CG guidelines.FindingsThe results show a negative and significant relationship between CG compliance and stock market liquidity, suggesting that regulated CG practices improve market liquidity in Kenya. The results are remarkably robus

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Carrete, Liliam Sanchez, Vitor Corona, and Rosana Tavares. "Impact of Number of Security Analysts in Liquidity of Brazilian Stocks." International Business Research 9, no. 11 (2016): 105. http://dx.doi.org/10.5539/ibr.v9n11p105.

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<p>This study investigates impacts of sell-side analysts in the liquidity of firm’s shares of Brazilian Capital Markets. Liquidity hypothesis studied by Brennan and Subrahmanyan (1995), Brennan and Tamarowski (2000), Amihud and Mendelson (1986, 2000) and Amihud <em>et al. (</em>1997) defines that an increase in the number of analysts covering a particular stock increases its liquidity causing a positive impact on the stocks prices. This work investigates empirically whether increasing number of securities analysts impacts stock market liquidity, as observed in the American ma

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Çifçi, Gönül. "Pricing To Market Liquidity: A Test On The Borsa Istanbul." Akademik Araştırmalar ve Çalışmalar Dergisi (AKAD) 17, no. 32 (2025): 16–38. https://doi.org/10.20990/kilisiibfakademik.1625423.

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Purpose: This study searches if market liquidity impacts the stock market prices and forecasts excess returns for Borsa Istanbul. Design/Methodology: The six factors’ effects over the market are tested. The factors are market return factor, size factor, default premium, term premium, market liquidity, and marketto-book values.The data set covers 130 monthly data of the fifty-seven stocks of BIST100 index. The research period is delimitated from January of 2011 to October of 2021. Findings: The market liquidity is significant for the returns over the research period. The market was sensitive to

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Bogdan, Siniša, Suzana Bareša, and Saša Ivanović. "Measuring liquidity on stock market: impact on liquidity ratio." Tourism and hospitality management 18, no. 2 (2012): 183–93. http://dx.doi.org/10.20867/thm.18.2.2.

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The purpose – It is important to emphasize that liquidity on Croatian stock market is low, the purpose of this paper is to test empirically and find out which variables make crucial role in decision making process of investing in stocks. Design – This paper explores the impact of various liquidity variables on liquidity ratio since it is still insufficiently researched topic. Methodology –This research uses secondary and primary data available from Croatian stock market. Considering primary data this paper use daily data from Zagreb stock exchange for 196 stocks traded in one year, with the pu

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Lee, Woo Baik. "Effect of KRX Designated Market Maker on Liquidity." Korean Journal of Financial Studies 51, no. 1 (2022): 27–62. http://dx.doi.org/10.26845/kjfs.2022.02.51.1.027.

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The transformation of order-driven markets into a hybrid market by introducing market makers reflects the global trend to increase market quality factors, such as liquidity. This study evaluates how market makers influence liquidity, using the data on market maker-designated stocks collected in 2020. The analysis of the effectiveness of the market maker and significance of individual stock-level liquidity shows that the effect of newly designated stocks is higher than that of undesignated stocks. The study finds that the effect of increasing the stock liquidity of consecutively designated mark

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Rasool, F., N. Riaz, M. Afzal, and M. M. Hussain. "Asset Pricing with Liquidity Risk: Evidence from the US Stock Market." International Journal of Advanced Finance and Accounting 6, no. 1 (2025): 1–10. https://doi.org/10.5281/zenodo.14768867.

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<em>This study investigates the impact of liquidity risk on asset pricing within the US stock market, exploring the complex relationship between market liquidity and stock returns. The research examines how liquidity risk factors contribute to stock price variations by analyzing a comprehensive dataset spanning multiple market conditions. The study uses advanced econometric techniques and panel data analysis to reveal significant evidence of liquidity risk's substantial role in determining asset pricing mechanisms. The findings contribute to the existing financial literature by providing empir

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Naik, Priyanka, and Y. V. Reddy. "Stock Market Liquidity: A Literature Review." SAGE Open 11, no. 1 (2021): 215824402098552. http://dx.doi.org/10.1177/2158244020985529.

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The purpose of this study is to identify the key aspects that have been studied in the area of stock market liquidity, accumulate their important findings, and also provide a quantitative categorization of reviewed literature that will facilitate in conducting further research. The study analyzes relevant research papers published after the global financial crisis of 2008 and finds that measurement of liquidity, factors influencing liquidity, the relationship between market liquidity and expected return, and market liquidity risk and its relationship with expected returns have been explored in

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Adler, Haymans Manurung, Marinda Machdar Nera, Marmen Simanjuntak Jerry, and Manurung Amran. "Determinant of Market Liquidity in Indonesia." Account and Financial Management Journal 09, no. 05 (2024): 3322–27. https://doi.org/10.5281/zenodo.11189645.

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ABSTRACT: This research aims to explore the Market volatility, Marketreturn, exchange rate and foreign stock buying, onmarket liquidity in the Indonesia Stock Exchange. This research use VAR (Vector Autoregression) to estimate coefficient model. Monthly data is used for period of January 2010to December 2023.This research found that Market Liquidity lag –1 and Lag-2 positively significant impact on Market Liquidity. Market Return negatively significant influence on Market Liquidity. Exchange Rate negatively significant impacton market liquidity. Pandemic eraor Covid-19positively signific

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Bernstein, Peter L. "Liquidity, Stock Markets, and Market Makers." Financial Management 16, no. 2 (1987): 54. http://dx.doi.org/10.2307/3666004.

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Ma, Rui, Hamish D. Anderson, and Ben R. Marshall. "International stock market liquidity: a review." Managerial Finance 42, no. 2 (2016): 118–35. http://dx.doi.org/10.1108/mf-04-2015-0096.

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Purpose – The purpose of this paper is to review the literature on liquidity in international stock markets, highlights differences and similarities in empirical results across existing studies, and identifies areas requiring further research. Design/methodology/approach – International cross-country studies on stock market liquidity are categorized and reviewed. Important relevant single-country studies are also discussed. Findings – Market liquidity is influenced by exchange characteristics (e.g. the presence of market makers) and regulations (e.g. short-sales constraints). The literature ha

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Shen, Zitang. "The Influence of Foreign Institutional Ownership on the Stock Liquidity in China Based on Data Analysis." E3S Web of Conferences 214 (2020): 01030. http://dx.doi.org/10.1051/e3sconf/202021401030.

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The negative impact of foreign participation on the liquidity of companies that allow a high degree of foreign institutional ownership has been widely documented. This article provides a unique environment for the limited participation of qualified foreign institutional investors (QFIIs) in China’s A-share market, and examines how these factors affect stock liquidity in emerging markets. Contrary to previous findings, the participation of foreign investors has helped increase the liquidity of affected stocks by facilitating increased trading activity. Improved liquidity in small businesses is

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Jiang, Jing. "Cross-sectional variation of market efficiency." Review of Accounting and Finance 16, no. 1 (2017): 67–85. http://dx.doi.org/10.1108/raf-02-2016-0018.

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Purpose This paper aims to provide evidence that market efficiency varies greatly across individual stock, and across market exchanges. Design/methodology/approach Three approaches, partial adjustment model, Dimson beta model and variance ratio test, are used on a large sample of US stocks. Findings This paper finds prices are closer to random walk benchmarks (i.e. more efficient) for stocks with better liquidity provision, frequent trading, greater return volatility, higher prices, larger market capitalizations and smaller trade sizes. These findings suggest that liquidity stimulates arbitrag

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Matek, Petar-Pierre, and Maša Galić. "The impact of designated market-makers on liquidity in frontier markets." Zbornik radova Ekonomskog fakulteta u Rijeci 42, no. 1 (2024): 95–121. http://dx.doi.org/10.18045/zbefri.2024.1.95.

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Many exchanges around the globe have implemented market-making schemes inan attempt to mitigate liquidity risk and enhance trading volume. This researchexamines the impact of designated market makers on stock liquidity in frontiermarkets, specifically measured by bid-ask spreads and trading turnover. Using adifference-in-differences analysis, we studied 19 stocks that introduced designatedmarket makers at the Zagreb Stock Exchange and Ljubljana Stock Exchangebetween May 2010 and January 2022. To the best of our knowledge, this is the firststudy investigating the impact of market makers in thes

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Tran, Phuoc, Tam Phan Huy, and Tuyet Pham Hong. "Causality between Economic Policy Uncertainty, Economic Growth and Stock Liquidity: Evidence from ASEAN markets." WSB Journal of Business and Finance 58, no. 1 (2024): 133–50. http://dx.doi.org/10.2478/wsbjbf-2024-0013.

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Abstract This research investigates the causal relationships among economic policy uncertainty, economic growth, and stock market liquidity in ASEAN markets, focusing on the extent and directionality of these relationships. Using Granger causality tests on data from six ASEAN countries, the study assesses the impact of economic policy uncertainty on economic growth and stock market liquidity using price-range and volume-based measures. The findings reveal no significant causal effect of economic policy uncertainty on economic growth or stock market liquidity but identify significant causal eff

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Miralles-Quirós, María del Mar, José Luis Miralles-Quirós, and Celia Oliveira. "The role of liquidity in asset pricing: the special case of the Portuguese Stock Market." Journal of Economics, Finance and Administrative Science 22, no. 43 (2017): 191–206. http://dx.doi.org/10.1108/jefas-12-2016-0001.

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Purpose The aim of this paper is to examine the role of liquidity in asset pricing in a tiny market, such as the Portuguese. The unique setting of the Lisbon Stock Exchange with regards to changes in classification from an emerging to a developed stock market, allows an original answer to whether changes in the development of the market affect the role of liquidity in asset pricing. Design/methodology/approach The authors propose and compare two alternative implications of liquidity in asset pricing: as a desirable characteristic of stocks and as a source of systematic risk. In contrast to pri

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Thukral, Sonal, and Rahul Sikka. "Liquidity in Asian Financial Markets: Crowding Out or Spillover Effect." Applied Finance Letters 9, SI (2020): 90–102. http://dx.doi.org/10.24135/afl.v9i2.251.

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The paper attempts to explore the relationship between the stock market and the corporate bond market, with a focus on the inter-dependency of liquidity between the two markets. The study employs a panel dataset to assess the impact of stock market liquidity on the corporate bond market liquidity for top five Asian economies (ranked by GDP) for the period 2008-2017. In contrast to limited number of earlier studies that reported a spillover effect of liquidity among the markets for stock and government bonds, the results of the present study convey that an increase in stock market liquidity ten

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Abdullahi, Ibrahim, Ganiyu Mustapha, and Stephen John. "Modeling the Interactive Relationship Between Macroeconomics and Institutions on Stock Market Liquidity in Sub-Saharan Africa." Global International Journal of Innovative Research 3, no. 2 (2025): 102–23. https://doi.org/10.59613/global.v3i2.381.

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Stock markets play a crucial role in enabling the easy exchange of financial assets globally. The effectiveness of stock markets worldwide, including those in sub-Saharan Africa, depends heavily on having sufficient liquidity. However, research shows that stock markets in sub-Saharan Africa often lack enough liquidity, leading to inefficiencies and high trading costs. Therefore, this study aimed at investigating the interactive relationship between macroeconomics and institutions on stock market liquidity in sub-Saharan Africa. The study adopted ex-post facto research design. The population of

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Stereńczak, Szymon. "State-Dependent Stock Liquidity Premium: The Case of the Warsaw Stock Exchange." International Journal of Financial Studies 8, no. 1 (2020): 13. http://dx.doi.org/10.3390/ijfs8010013.

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The effect of stock liquidity on stock returns is well documented in the developed capital markets, while similar studies on emerging markets are still scarce and their results ambiguous. This paper aims to analyze the state-dependent variance of liquidity premium in the Polish stock market. The Polish capital market may serve as a benchmark for other emerging markets in the region of Central and Eastern Europe, hence the results of this research should be of great interest for investors and policy makers in Poland and other post-communist European countries. In the empirical, study a unique e

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D. Kaya, Halil, and Engku Ngah S. Engkuchik. "The effect of financial crises on stock market liquidity across global markets." Investment Management and Financial Innovations 14, no. 2 (2017): 38–50. http://dx.doi.org/10.21511/imfi.14(2).2017.04.

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In this study, using a widely available market liquidity measure, the “turnover ratio”, the authors test for market liquidity contagion during the four financial crises that occurred between 1997 and 1999: The Thai crisis, the Hong Kong crisis, the Russian crisis, and the Brazilian crisis. It is found that while the liquidity levels decreased in approximately half of the sample markets, in the remaining half, the liquidity levels actually improved. The Granger causality tests show that while there is almost no evidence of causality (in both directions) before each crisis, during each crisis, a

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Narasimhan, M. S., and Shalu Kalra. "The Impact of Derivative Trading on the Liquidity of Stocks." Vikalpa: The Journal for Decision Makers 39, no. 3 (2014): 51–66. http://dx.doi.org/10.1177/0256090920140304.

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Liquidity is an important factor for smooth trading for all assets including equities traded in the stock markets. Stock exchanges enable buyers and sellers to come together for transaction and in the process reduce the search cost and friction. Higher liquidity motivates more investors to participate in the stock market. Introduction of derivatives of the underlying stock increases the opportunity set available to investors and hence affect the liquidity of the underlying stock. This study examines the impact of derivative trading on the liquidity of underlying stock using price impact measur

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Pasaribu, Dedy Than. "PENGARUH STOCK SPLIT TERHADAP ABNORMAL RETURN & LIKUIDITAS SAHAM BLUE CHIP." Contemporary Studies in Economic, Finance and Banking 2, no. 3 (2023): 492–502. http://dx.doi.org/10.21776/csefb.2023.02.3.12.

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Stock split is a corporate action intended to raise stock liquidity. When stock prices are high, the shares become inaccessible to all capital market investors. The impact of stock splits on abnormal returns and stock liquidity should be re-evaluated due to the discrepancies in prior studies. This research evaluates the influence of stock splits on liquidity and abnormal stock returns. This research utilized a sample of 27 blue-chip companies listed on the IDX that underwent stock splits from 2010 to 2022. Blue chip stocks are often the market leaders for each sector and subsector of stocks in

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Tram Anh, Luong, Nguyen Thi Hoai, Nguyen Thi Trang, Dau Thao Vy, Le Ha Vi, and Le Thi Phuong Uyen. "The Impact of Market Liquidity on Stock Returns: Empirical Evidence from the Vietnamese Stock Market." VNU JOURNAL OF ECONOMICS AND BUSINESS 2, no. 5 (2022): 93. http://dx.doi.org/10.57110/2588-1108/vnujeb.4789.

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The stock market plays an increasingly important role in restructuring the economy in Vietnam. Among many evaluation criteria, market liquidity is one of the essential factors showing the development of the stock market. This study aims to understand the influence of market liquidity on the performance of the Vietnamese stock market from 2011 to 2020. The research results show that market liquidity positively affects the Vietnamese market's excess return, and this result is unchanged with control variables. This finding contrasts with the liquidity risk premium theory, but it contributes to th

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Tram Anh, Luong, Nguyen Thi Hoai, Nguyen Thi Trang, Dau Thao Vy, Le Ha Vi, and Le Thi Phuong Uyen. "The Impact of Market Liquidity on Stock Returns: Empirical Evidence from the Vietnamese Stock Market." VNU JOURNAL OF ECONOMICS AND BUSINESS 2, no. 5 (2022): 93. http://dx.doi.org/10.57110/jeb.v2i5.4789.

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The stock market plays an increasingly important role in restructuring the economy in Vietnam. Among many evaluation criteria, market liquidity is one of the essential factors showing the development of the stock market. This study aims to understand the influence of market liquidity on the performance of the Vietnamese stock market from 2011 to 2020. The research results show that market liquidity positively affects the Vietnamese market's excess return, and this result is unchanged with control variables. This finding contrasts with the liquidity risk premium theory, but it contributes to th

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Umar, Muhammad, and Gang Sun. "Determinants of different types of bank liquidity: evidence from BRICS countries." China Finance Review International 6, no. 4 (2016): 380–403. http://dx.doi.org/10.1108/cfri-07-2015-0113.

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Purpose The purpose of this paper is to explore the determinants of three different types of bank liquidity: funding liquidity, liquidity creation, and stock liquidity in emerging markets. Design/methodology/approach It uses an extensive set of data from all the listed banks of Brazil, Russia, India, China, and South Africa, collectively known as the BRICS countries, spanning the period 2002-2014. Multiple linear regression has been used to estimate the coefficients of the determinants. Findings In case of emerging markets, bank size is not a determinant of different types of liquidity, except

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Saeed, Sadia, Saif ul Mujahid Shah, and Saadullah Shah. "Liquidity Risks and Asset Pricing: Evidence from Developed and Emerging Markets." Journal of Independent Studies and Research-Management, Social Sciences and Economics 18, no. 2 (2020): 65–86. http://dx.doi.org/10.31384/jisrmsse/2020.18.2.5.

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The study examines the liquidity adjusted capital asset pricing model in developed and emerging markets. Amihud measure is used to compute market liquidity. Innovations in Amihud ratio are generated through the autoregressive process to avoid autocorrelation in illiquidity data series. Decile portfolios based on illiquidity cost are formulated for each stock market. Liquidity adjusted betas are calculated at the portfolio level and then stocks as test assets have been used in the regression stage. Panel regression with fixed effect has been employed on LCAPM specifications for explaining the e

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Alaba, John Stephen, Yahaya Ahmed, Malik-Abdulmajeed, Kudirat Mopelola, and Umar Hussain. "Stock Market Liquidity and Stock Market Performance in Nigeria: Evidence from the Nigerian Exchange Limited." iRASD Journal of Management 6, no. 2 (2024): 78–89. http://dx.doi.org/10.52131/jom.2024.0602.0124.

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Insufficient liquidity can become a significant obstacle to stock trading and impede the smooth operation and performance of the stock market. This motivated the study to investigate the effect of stock market liquidity on stock market performance in Nigeria. The research design employed was ex post facto, while stratified sampling technique was used to select top 30 actively traded and most liquid companies tagged NGX-30 for this study. Data were sourced secondarily from SEC Statistical Bulletin, CBN Statistical Bulletin and www.investing.com. The Vector Error Correction (VEC) System Equation

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Ahmed Yahaya, Stephen Alaba John, Ademola Adegoroye, and Oluwatosin Ayotomide Olorunfemi. "Stock market liquidity and volatility on the Nigerian Exchange Limited (NGX)." World Journal of Advanced Research and Reviews 20, no. 3 (2023): 147–56. http://dx.doi.org/10.30574/wjarr.2023.20.3.2333.

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Globally, the importance of stock markets in facilitating the smooth exchange of financial assets cannot be overemphasized. The efficiency of stock markets across the globe including Nigeria is largely dependent on the adequacy of stock market liquidity. However, studies have shown that the Nigerian stock market is inadequately liquid which has led to inefficient stock trading with high cost of trading. Therefore, this study investigates the effect of stock market liquidity on stock volatility on the Nigerian Exchange Limited (NGX). The study used an ex post facto research design with a sample

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Ahmed, Yahaya, Alaba John Stephen, Adegoroye Ademola, and Ayotomide Olorunfemi Oluwatosin. "Stock market liquidity and volatility on the Nigerian Exchange Limited (NGX)." World Journal of Advanced Research and Reviews 20, no. 3 (2023): 147–56. https://doi.org/10.5281/zenodo.12739629.

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Globally, the importance of stock markets in facilitating the smooth exchange of financial assets cannot be overemphasized. The efficiency of stock markets across the globe including Nigeria is largely dependent on the adequacy of stock market liquidity. However, studies have shown that the Nigerian stock market is inadequately liquid which has led to inefficient stock trading with high cost of trading. Therefore, this study investigates the effect of stock market liquidity on stock volatility on the Nigerian Exchange Limited (NGX). The study used an ex post facto research design with a sample

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Lux, Nicole, and Alex Moss. "Liquidity in global real estate securities markets." Journal of Property Investment & Finance 34, no. 4 (2016): 321–46. http://dx.doi.org/10.1108/jpif-11-2015-0078.

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Purpose – The purpose of this paper is to test the relationship between liquidity in listed real estate markets, company size and geography during different market cycles, specifically pre-crisis (2002-2006) and post-crisis (2010-2014). Further, the study analyses the impact of stock liquidity on stock performance. In a previous study the authors examined the impact of liquidity on the valuation of European real estate shares. The result showed that there is a strong relationship between liquidity, valuation and market capitalisation post the Global Financial Crisis. Design/methodology/approac

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Hsieh, Tzung-Yuan, Shaung-Shii Chuang, and Ching-Chung Lin. "Impact of Tick-Size Reduction on the Market Liquidity — Evidence from the Emerging Order-Driven Market." Review of Pacific Basin Financial Markets and Policies 11, no. 04 (2008): 591–616. http://dx.doi.org/10.1142/s0219091508001490.

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Empirical studies on the influence of tick-size reduction towards market liquidity have focused almost exclusively on quote-driven markets in developed nations, and generally their findings are based on time periods of less than one year. This work investigates the influence of tick-size reduction and the relaxations of binding-constraint probability on market liquidity in the Taiwanese stock market, an emerging order-driven market, starting on March 1, 2005. The empirical results show that the spread, depth, market liquidity, and binding-constraint probability all decrease following the tick-

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Erlinawati, Ira, and Imron Mawardi. "Pengaruh Jumlah Saham Beredar, Harga Saham dan Presentase Saham Publik Terhadap Likuiditas Saham Perusahaan Yang Listing di JII Periode 2013." Jurnal Ekonomi Syariah Teori dan Terapan 2, no. 2 (2015): 130. http://dx.doi.org/10.20473/vol2iss20152pp130-146.

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The increase on market capitalization, number of traded shares, frequency of stocks trading and stocks price index influence the stock liquidity. Stocks which have a high market capitalization and that index prices always increase reflected in the Jakarta Islamic Index (JII). It is because the majority shares on JII are member of LQ45 which have a big market capitalization and good track record. Therefore interesting to do research to see the effect of the number of shares, the stock price and the percentage of public stock to the stock liquidity of listed companies on JII. The approach used i

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Tayeh, Mohammad. "Determinants of Market Liquidity: Evidence from the Jordanian Stock Market." International Journal of Economics and Finance 8, no. 10 (2016): 48. http://dx.doi.org/10.5539/ijef.v8n10p48.

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Empirical work that investigates how market liquidity varies over time for an emerging market is virtually nonexistent. This paper, therefore, provides evidence from the Amman Stock Exchange (thereafter ASE), on the sources of the times-series variation of market liquidity and its time-series behavior, using a comprehensive sample of stocks over a 15-year time span. Concurrent market movements and market trend variables significantly affect daily changes in market liquidity. There is inconclusive evidence of the impact of market volatility on market liquidity. Market liquidity exhibits both we

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Miloș, Marius Cristian, Laura Raisa Miloș, Flavia Barna, and Claudiu Boțoc. "Impact of MiFID II on Romanian Stock Market Liquidity—Comparative Analysis with a Developed Stock Market." International Journal of Financial Studies 9, no. 4 (2021): 69. http://dx.doi.org/10.3390/ijfs9040069.

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In light of previous literature that has investigated the effects of MiFID and MiFID II regulation on stock market liquidity, we investigate whether the introduction of MiFID II in Romania has had any effect on the stock market liquidity. Through our empirical analysis, we were able to estimate a meaningful reduction of liquidity in the Romanian stock market liquidity, in response to MiFID II, in line with the previous empirical literature. We find that the liquidity of the BET index constituents has decreased in the period following MiFID II. We find contradictory results in what concerns the

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Divya, Verma, and Kundlia Shweta. "STOCK MARKET LIQUIDITY: A LITERATURE SURVEY." Indian Journal of Economics and Business 20, no. 2 (2021): 241–54. https://doi.org/10.5281/zenodo.5409183.

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Abstract: This study aims to review the existing literature on stock market liquidity and provide future directions of research. The paper provides a review of seminal, transitional and current literature on stock market liquidity’s origin, measures and role in asset pricing. The literature survey found that there is no single universal definition of liquidity. This study contributes in the existing literature by defining market liquidity comprehensively as traded and non-traded liquidity. Cost-based and mixed measures are found to have reached the advanced stage of development of liquid

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Adalat, Q., A. Hassan, and S. Adalat. "Does Monetary Policy Determines Liquidity? New Evidence from Pakistan Stock Market." Jinnah Business Review 11, no. 2 (2023): 73–88. http://dx.doi.org/10.53369/whyz3541.

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Monetary policy and its influence on liquidity is one of the most contentious issues in recent periods. As Pakistan is an emerging market with growing opportunities so people’ interest is increasing and investors are more concern about liquidity position of Pakistan market. This research using sample of 100 firms listed at Pakistan Stock Exchange (non-financial) for the period 2000-2020. In first step, simple regression is estimated to investigate the effect of monetary policy on market liquidity. In which the liquidity of market in month t is modeled as a function of the Industrial growth rat

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Bensoltane, Héla. "Is there a “Flight to liquidity” phenomenon in the Saudi stock market?" International Journal of ADVANCED AND APPLIED SCIENCES 11, no. 4 (2024): 45–51. http://dx.doi.org/10.21833/ijaas.2024.04.006.

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The study examines how market illiquidity shocks affect stock prices and explores the "flight to liquidity" phenomenon in the largest stock market in the Middle East, specifically the Saudi stock market. It analyzes the relationship between these shocks and stock prices to understand the impact on both small and large firms. Utilizing a comprehensive database that contains daily data of all stocks listed on the Saudi stock market for over 20 years, the research evaluates the illiquidity of each stock and the entire market on a weekly basis. Market illiquidity shocks are determined using an aut

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Bakri, Mohd Ashari, Amin Nordin Bany-Ariffin, Bolaji Tunde Matemilola, and Wei Theng Lau. "Moderating Role of Financial Market Development on the Relationship between Stock Liquidity and Dividend." Asian Academy of Management Journal of Accounting and Finance 16, no. 2 (2020): 77–99. http://dx.doi.org/10.21315/aamjaf2020.16.2.4.

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This article aims to investigate the relationship between stock liquidity and dividend across emerging market countries as well as examined the moderating role of financial market development on the relationship between stock liquidity and dividend. Data were obtained from the World Bank and DataStream databases. The study examined 3,258 listed firms from 22 emerging markets to be extrapolated in the emerging market context. To analyse the data, this article used the panel data Tobit model and panel logistic regression, both with random effects. The analysis revealed that financial market deve

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Hoang Ton, Uyen Thanh, and Tibor Tatay. "Monetary Policy and Stock Market Liquidity in Emerging Market Economies." Regional and Business Studies 13, no. 2 (2021): 55–68. http://dx.doi.org/10.33568/rbs.2916.

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In the era of globalization, the financial systems of all countries have faced severe challenges and their negative impacts such as overheated economy, high inflation, stock market crash, financial crisis, and other financial collapses. It has raised significant concerns influencing the effects of macroeconomic policies and responses of the financial system of each country all over the world even in normal times and turbulent times in various respects. And stock markets in emerging market economies are no exceptions. Indeed, it is proven by more and more studies that have been implemented to a

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Thi Van Trang, Do, and Dinh Hong Linh. "The impact of earnings management on market liquidity." Investment Management and Financial Innovations 17, no. 2 (2020): 389–96. http://dx.doi.org/10.21511/imfi.17(2).2020.30.

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This article investigates the impact of earnings management on market liquidity measured by the depth of the market. Managers have desired to provide amazing performance of companies, manage their earnings through non-discretionary accruals. Consequently, investors have trouble evaluating the stock value and misunderstanding of the market liquidity because of manipulated information.To this aim, the fixed-effect model (FEM) is implemented to analyze the financial information of 170 listed firms on the Vietnam Stock Exchange over the period 2013–2016. The empirical results emphasized that marke

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Omet, Ghassan. "Ownership structure and stock liquidity: Some evidence from the Jordanian capital market." Corporate Ownership and Control 4, no. 2 (2007): 292–96. http://dx.doi.org/10.22495/cocv4i2c2p5.

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It is common knowledge that the microstructure of securities markets has generated a large number of research papers. This effort is not really surprising if one understands that market liquidity is important because of its implications for firms’ investment and financing decisions and the development of financial markets. This paper examines the issue of stock liquidity in the Jordanian capital market. Specifically, we provide of measure of liquidity cost and relate it to firm specific characteristics including the ownership structure of stocks. Based on the daily trading data for a total of

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El-Nader, Ghaith. "Stock liquidity and free float: evidence from the UK." Managerial Finance 44, no. 10 (2018): 1227–36. http://dx.doi.org/10.1108/mf-12-2017-0494.

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Purpose The purpose of this paper is to investigate the interactions between free float and stock liquidity in the UK stock market over the period 2002–2016. Design/methodology/approach This paper is conducted using cross-sectional data regression analysis. The sample consists of 15,650 firm-level observations from the UK stock market. Findings The findings suggest that stocks with higher levels of free float are associated with higher levels of liquidity. This relation is significant regardless of the liquidity measure used, and is evident even after controlling for firm characteristics. Orig

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Kersting, Lee, Jang-Chul Kim, Sharif Mazumder, and Qing Su. "Unveiling the Brew: Probing the Lingering Impact of the Luckin Coffee Scandal on the Liquidity of Chinese Cross-Listed Stocks." Journal of Risk and Financial Management 17, no. 11 (2024): 514. http://dx.doi.org/10.3390/jrfm17110514.

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This paper investigates the impact of the Luckin Coffee accounting scandal on stock liquidity and spillover effects in the financial market, focusing on Chinese companies listed on U.S. exchanges. Utilizing event studies, we analyze eight pivotal events related to the scandal to examine stock liquidity and market quality changes. The results show a significant decline in Luckin’s stock liquidity during the scandal, while spillover effects on other Chinese stocks are limited. Comparisons with the Satyam accounting scandal suggest that individual company scandals may not substantially affect the

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Hammami, Haifa, and Younes Boujelbene. "The effects of stock market crises shocks on market liquidity, market volatility and exchange rate volatility: Case of the Tunisian stock market." International Journal of Finance 7, no. 1 (2022): 40–58. http://dx.doi.org/10.47941/ijf.828.

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Purpose: This paper is conducted to investigate the response of market liquidity, market volatility and exchange rate volatility to stock market crises shocks. Methodology: First, the CMAX approach is used to detect stock market crises. Then, the Vector Auto Regression (VAR) approach is applyed to study the transmission effect of stock market crises shocks on market liquidity, market volatility and exchange rate volatility. Results: According to the empirical study based on evidence from Tunisia, we obtain the following results: The impulse response analysis underlines that there i

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Olbryś, Joanna, and Elżbieta Majewska. "Assessing Commonality in Liquidity with Principal Component Analysis: The Case of the Warsaw Stock Exchange." Journal of Risk and Financial Management 13, no. 12 (2020): 328. http://dx.doi.org/10.3390/jrfm13120328.

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The studies concerning commonality in liquidity on emerging markets in Central and Eastern Europe are scarce and, in particular, they do not utilize the Principal Component Analysis (PCA) to identify latent factors in liquidity. Therefore, the main aim of this research is to assess commonality in liquidity on the Warsaw Stock Exchange (WSE) with the use of the PCA to extract common components of liquidity across a sample of stocks, and from a set of several liquidity proxies. The robustness tests within the whole sample and sub-periods are provided. The PCA results reveal that common latent fa

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Eyshi Ravandi, Mohsen, Mahmoud Moeinaddin, Akram Taftiyan, and Majid Rostami Bashmani. "Investigating the Impact of Investor Sentiment and Liquidity on Stock Returns of the Iranian Stock Exchange." Dynamic Management in Business Analysis 3, no. 1 (2024): 40–52. http://dx.doi.org/10.61838/dmbaj.3.1.3.

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Objective: This study investigates the impact of optimistic investor sentiment and stock liquidity on the stock returns of the Iranian stock exchange. The primary objective is to analyze how psychological and financial factors influence stock market performance. Methodology: The research utilizes monthly data on stock returns, investor sentiment, and liquidity from April 2013 to June 2022. Two methods, Dynamic Ordinary Least Squares (DOLS) and Robust Least Squares (RLS), were employed for data analysis. These methods allow researchers to precisely examine the longitudinal and robust relationsh

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Loukil, Nadia. "Stock Liquidity, Feedback Prices, And Asset Liquidity: Evidence From The Tunisian Stock Market." Journal of Applied Business Research (JABR) 31, no. 2 (2015): 407. http://dx.doi.org/10.19030/jabr.v31i2.9125.

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This paper explores how feedback prices influence firms' investment on asset liquidity through stock liquidity. Using a sample of the Tunisian listed firms between 1999 and 2010, empirical results confirm that stock market liquidity plays a significant role in investment decisions and show that high stock liquidity encourages firms to invest more on asset liquidity to overcome feedback prices (negative and positive feedback). Therefore, the papers findings demonstrate the link between stock markets and the current business activity of the firm. Furthermore, the results indicate how stock liqui

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Wijaya, Chandra Ferdinand, and Hamfri Djajadikerta. "Pengaruh Risiko Sistematis, Leverage, Dan Likuiditas Terhadap Return Saham Lq 45 Yang Terdaftar Pada Bursa Efek." Jurnal Manajemen 9, no. 2 (2018): 62–76. http://dx.doi.org/10.31937/manajemen.v9i2.721.

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Investors want high stock return to increase wealth from their stock investment. In determining stocks that can provide high returns, there are factors that must be considered. LQ 45 stocks are identical to profitable and high return stock. In fact, LQ 45 stocks do not always benefit investors. There are risk factors that influence LQ 45 stock return, which is the market risk and fundamental risk. Market risk is known as systematic risk and fundamental risk is reflected through companies’ liquidity and leverage. There are inconsistencies over the influence of this variables on stock return. Th

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Lyu, Zijiu. "Economic Policy Uncertainty and Stock Liquidity." BCP Business & Management 34 (December 14, 2022): 1551–58. http://dx.doi.org/10.54691/bcpbm.v34i.3211.

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Based on the annual stock data of Chinese stock market from 2007 to 2019, this paper explores how economic policy uncertainty (EPU) affects stocks’ liquidity by applying a fixed effect model (here the effects of different years and different stocks are controlled). It has analyzed what role the retail investor attention plays in the interplay between EPU and stocks’ liquidity. The results show that the increase of EPU makes retail investors more willing to trade stocks, thus increasing the liquidity of stocks. Furthermore, this paper categorizes listed companies into 4 different groups accordi

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Rudnicki, Józef. "STOCK SPLITS AND LIQUIDITY FOR TWO MAJOR CAPITAL MARKETS FROM CENTRAL–EASTERN EUROPE." Business, Management and Education 10, no. 2 (2012): 145–58. http://dx.doi.org/10.3846/bme.2012.11.

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In the stock market there occur some events that contradict the efficient market hypothesis therefore they are called anomalies. One of the mysterious corporate events which has attracted the attention of numerous researchers is a stock split. I perform the review of implications of splitting the stock for market liquidity of companies listed on the Warsaw Stock Exchange and the Vienna Stock Exchange. I use event study, in particular Market model method and Market adjusted return method, to inspect the behavior of abnormal changes in daily trading volume for stock splits performed between 2000

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