Do illiquid stocks jump more frequently?

Sebastian Kunsteller, Janis Müller and Peter Posch

Applied Economics, 2019, vol. 51, issue 25, 2764-2769

Abstract: We study the influence of stock liquidity on the stock price jump frequency using intraday data of 175 US stocks during 2007–11. Grouping these stocks according to their average liquidity we find less liquid stocks to jump more often than liquid stocks. Depending on the liquidity measure the least liquid stocks exhibit on average between 10% and 34% more jumps than the most liquid stocks. Our results are robust to different definitions of liquidity and jump measures as well prevail under different time frequencies.

Date: 2019
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DOI: 10.1080/00036846.2018.1558357

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