Liquidity, volume and dividend yields in stock return data: Evidence from London Stock Exchange

Chrysovalantis Vasilakis and Aristeidis Samitas

MPRA Paper from University Library of Munich, Germany

Abstract: This paper investigates monthly liquidity in FTSE 100 equity index in London Stock Exchange over the period 1986 to 2005. The relationship between excess returns, order flow, dividend yields and earning-price ratio was examined using GARCH(1,1). The variables found insignificant, but the unexpected shocks were significant. This research also examined financial crises in October 1987 and in August 1998 as dummy variables in excess returns. These dummies found to have great impact in excess returns and seemed to be very significant. The results of our analysis appear to be in contrast with the existing literature.

Keywords: GJR-GARCH models; liquidity; volume; dividend yields; earnings; excess returns (search for similar items in EconPapers)
JEL-codes: F30 F39 (search for similar items in EconPapers)
Date: 2009
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Published in International Journal of Financial Economics and Econometrics No2.Vol. 1(2009): pp. 79-88

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:30078

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