Andong Wang
Stock liquidity and return distribution: Evidence from the London Stock Exchange
Wang, Andong; Hudson, Robert; Rhodes, Mark; Zhang, Sijia; Gregoriou, Andros
Authors
Professor Robert Hudson Robert.Hudson@hull.ac.uk
Professor of Finance
Mark Rhodes
Sijia Zhang
Andros Gregoriou
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.
Citation
Wang, A., Hudson, R., Rhodes, M., Zhang, S., & Gregoriou, A. (2020). Stock liquidity and return distribution: Evidence from the London Stock Exchange. Finance research letters, https://doi.org/10.1016/j.frl.2020.101539
Journal Article Type | Article |
---|---|
Acceptance Date | Apr 16, 2020 |
Online Publication Date | May 12, 2020 |
Publication Date | Jan 1, 2020 |
Deposit Date | Apr 16, 2020 |
Publicly Available Date | Jan 2, 2022 |
Journal | Finance Research Letters |
Print ISSN | 1544-6123 |
Publisher | Elsevier |
Peer Reviewed | Peer Reviewed |
Article Number | 101539 |
DOI | https://doi.org/10.1016/j.frl.2020.101539 |
Keywords | Skewness; Kurtosis; Liquidity; Amihud ratio; Bid-ask spread; Zero-return days. |
Public URL | https://hull-repository.worktribe.com/output/3496924 |
Publisher URL | https://www.sciencedirect.com/science/article/abs/pii/S1544612320301811 |
Files
This file is under embargo until Jan 2, 2022 due to copyright reasons.
Contact Robert.Hudson@hull.ac.uk to request a copy for personal use.
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