How do markets value stock liquidity? Comparative evidence from the UK, the US, Germany and China

Guy Liu, Andros Gregoriou and Yibo Bo

Economics Letters, 2020, vol. 186, issue C

Abstract: We examine the relationship between stock liquidity and returns before, during and after the 2007–2009 financial crisis. We obtain evidence of a positive association for Germany and the UK, whereas China exhibits the opposite result and the US provides inconclusive evidence.

Keywords: Liquidity; Stock returns; Amihud ratio; German stock market; UK stock market US stock market; China stock market (search for similar items in EconPapers)
JEL-codes: G10 G15 (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:186:y:2020:i:c:s0165176519302198

DOI: 10.1016/j.econlet.2019.06.006

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