Economics at your fingertips  

Is liquidity the missing link?

Manapon Limkriangkrai, Robert B. Durand and Iain Watson

Accounting and Finance, 2008, vol. 48, issue 5, 829-845

Abstract: Durand "et al." (2006a) argue that the Australian market is both internationally integrated and domestically segmented. They find that the US-based three-factor model captures returns of the largest stocks in Australia (evidence of international integration), but that it is unable to account for the returns of the smallest stocks (evidence of domestic segmentation). This study resolves the puzzle left by Durand "et al". (2006a). Incorporating a liquidity factor provides the missing link in their analysis: it results in a model that permits both the international integration of the largest stocks and the model can account for the returns of the smallest stocks. Our analysis highlights the important role of liquidity in Australian asset pricing. Copyright (c) 2008 The Authors. Journal compilation (c) 2008 AFAANZ.

Date: 2008
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (12) Track citations by RSS feed

Downloads: (external link) link to full text (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0810-5391

Access Statistics for this article

Accounting and Finance is currently edited by Robert Faff

More articles in Accounting and Finance from Accounting and Finance Association of Australia and New Zealand Contact information at EDIRC.
Bibliographic data for series maintained by Wiley Content Delivery ().

Page updated 2019-02-23
Handle: RePEc:bla:acctfi:v:48:y:2008:i:5:p:829-845