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

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

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