Liquidity risk and stock performance during the financial crisis

Tung Dang and Thi Minh Hue Nguyen

Research in International Business and Finance, 2020, vol. 52, issue C

Abstract: We investigate whether and how ex-ante liquidity risk affects realized stock returns during the global financial crisis of 2008–2009 in international equity markets. We find that stocks with higher pre-crisis return exposure to global market liquidity shocks experience larger price reductions during the crisis period. Our findings provide further insight into the comprehensive picture of the effect of liquidity risk on asset prices, especially in an international context and under different market conditions.

Keywords: Liquidity risk; Cumulative stock returns; Global financial crisis (search for similar items in EconPapers)
JEL-codes: G01 G12 G15 (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (13)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:52:y:2020:i:c:s0275531919302831

DOI: 10.1016/j.ribaf.2019.101165

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