Skip to main content

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

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

Authors

Andong Wang

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.

Journal Article Type Article
Publication Date Jan 1, 2020
Journal Finance Research Letters
Print ISSN 1544-6123
Publisher Elsevier
Peer Reviewed Peer Reviewed
Article Number 101539
APA6 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
DOI https://doi.org/10.1016/j.frl.2020.101539
Keywords Skewness; Kurtosis; Liquidity; Amihud ratio; Bid-ask spread; Zero-return days.
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.




You might also like



Downloadable Citations

;