Stock liquidity and return distribution: Evidence from the London Stock Exchange

Andong Wang, Robert Hudson, Mark Rhodes, Sijia Zhang and Andros Gregoriou

Finance Research Letters, 2021, vol. 39, issue C

Abstract: We investigate the relationship between liquidity and the distribution of returns, for all listed firms on the London Stock Exchange between 2002–2018. We find a strong relationship between the distribution of returns, as measured by skewness and kurtosis, and liquidity.

Keywords: Skewness; Kurtosis; Liquidity; Amihud ratio; Bid-ask spread; Zero-return days (search for similar items in EconPapers)
JEL-codes: G12 G15 G33 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:39:y:2021:i:c:s1544612320301811

DOI: 10.1016/j.frl.2020.101539

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