Stock liquidity and return distribution: Evidence from the London Stock Exchange
Wang, Andong; Hudson, Robert; Rhodes, Mark; Zhang, Sijia; Gregoriou, Andros
Professor Robert Hudson Robert.Hudson@hull.ac.uk
Professor of Finance
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.
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|
|Peer Reviewed||Peer Reviewed|
|Keywords||Skewness; Kurtosis; Liquidity; Amihud ratio; Bid-ask spread; Zero-return days.|
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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