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Stock Market Liquidity: A Literature Review

Priyanka Naik and Y. V. Reddy

SAGE Open, 2021, vol. 11, issue 1, 2158244020985529

Abstract: The purpose of this study is to identify the key aspects that have been studied in the area of stock market liquidity, accumulate their important findings, and also provide a quantitative categorization of reviewed literature that will facilitate in conducting further research. The study analyzes relevant research papers published after the global financial crisis of 2008 and finds that measurement of liquidity, factors influencing liquidity, the relationship between market liquidity and expected return, and market liquidity risk and its relationship with expected returns have been explored in the context of the stock market liquidity. Among these, the factors influencing liquidity have been prominently researched in the reviewed studies. The study concludes that the identified areas can be potentially researched concerning the emerging markets by considering the multidimensional quality of market liquidity. Also, the inter-linkages between the liquidity of emerging markets with that of the global stock markets can be further evaluated.

Keywords: market liquidity; literature review; content analysis; stock returns; liquidity risk (search for similar items in EconPapers)
Date: 2021
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DOI: 10.1177/2158244020985529

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