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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.

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