Pricing, dynamics, and determinants of illiquidity risks: International evidence

Mohsen Saad and Anis Samet

Emerging Markets Review, 2015, vol. 23, issue C, 124-147

Abstract: We estimate conditional LCAPM illiquidity risks for common stocks in emerging and developed markets. We find that illiquidity risks are determined by local factors for both markets and are more strongly priced in emerging markets. Illiquidity risks exhibit no time trend and experienced an increase during the recent financial crisis that is not completely reversed a year after. Finally, we explore the determinants of illiquidity risks and find that business cycle determinants have similar explanatory ability in both sets of markets, while the effect of monetary policy and liquidity funding is more strongly supported in developed and emerging markets, respectively.

Keywords: Asset pricing; Conditional LCAPM; Liquidity risk; Illiquidity risk premium; Dynamic conditional correlation; Multivariate GARCH (search for similar items in EconPapers)
JEL-codes: F36 G11 G12 G14 G15 (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ememar:v:23:y:2015:i:c:p:124-147

DOI: 10.1016/j.ememar.2014.11.005

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