Liquidity of emerging markets

Lesmond, David A.

doi:10.1016/j.jfineco.2004.01.005

Cited by 670 publications

(448 citation statements)

References 59 publications

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“…Microstructure market literature defines many liquidity proxies but, some liquidity proxies, such us spread and Amihud ratio, are biased when the sample contains infrequently traded stocks (Lesmond, 2005 andLiu, 2006). Accordingly, we use the number of non trading days adjusted by turnover as liquidity proxy as in Liu (2006).…”

Section: Stock Liquidity and Information Asymmetry Proxiesmentioning

confidence: 99%

Does Corporate Governance Affect Stock Liquidity in the Tunisian Stock Market?

Loukil¹,

Yousfi

2012

SSRN Journal

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Abstract:The aim of the current paper is to study the link between the effects of corporate governance on information asymmetry problems and stock liquidity in the Tunisian Stock Market. We use a sample of 49 Tunisian firms listed between 1998 and 2007. Our results show that corporate governance has direct and indirect effects on stock liquidity. Threat of expropriation exerted by family and foreign shareholders discourages reluctant investors, which decreases stock liquidity. In contrast, they invest their capital in State controlled firms.In fact, State is regarded as an effective controller rather than a shareholder. The State involvement in Tunisian firms is considered as state guarantee for investors, which increases stock liquidity. Our results provide evidence that some attributes of corporate governance improve stock liquidity because they reduce information asymmetry.

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Section: Stock Liquidity and Information Asymmetry Proxiesmentioning

confidence: 99%

Does Corporate Governance Affect Stock Liquidity in the Tunisian Stock Market?

Loukil¹,

Yousfi

2012

SSRN Journal

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“…Conventional liquidity measures are difficult to calculate for emerging market stocks because of a lack of data on stock turnover. Lesmond (2005) and Bekaert, Harvey, and Lundblad (2007) therefore suggest the percentage of daily zero returns as an illiquidity proxy. The two-year period from July 1, 1998, to July 1, 2000, is used to calculate the percentage of zero returns, Z R j , and a stock liquidity proxy is defined as Liq j = ln(1 − Z R j ).…”

Section: Market Integration By Cross-listing and Liquiditymentioning

confidence: 99%

Global versus Local Asset Pricing: A New Test of Market Integration

Hau

2011

Rev. Financ. Stud.

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“…Liquidity is more profound in emerging markets since emerging markets are normally characterized by low level of liquidity. Theoretically, illiquidity is considered as a risk in emerging markets even though the stock returns in these market are substantial (Lesmond 2005). Many studies report interesting results that liquidity is not even priced in emerging markets (Batten & Vo 2014;Vo & Bui 2016).…”

Section: Introductionmentioning

confidence: 99%

Stock Market Liquidity and Firm Investment: Evidence from Vietnam

Ha¹,

Vo²

2017

JIBE

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It is interesting to explore whether corporate managers follow stock market signals when making corporate financial decisions. However, the literature concerning the relationship between stock market liquidity and corporate investment is still limited. This paper investigates the impact of stock liquidity on firm investment in the Vietnamese context, where stock market has grown at a significant pace in the recent years but the finance literature seems to ignore this small emerging economy. This relationship is tested in a panel of firms listed on the Vietnam Stock Market over an extended time period. We aim to achieve more robust estimation results by employing the econometric technique of GMM estimator for panel data analysis. Moreover, we use a number of indicators to proxy for firm investment including both the aggregated indicators and disaggregated indicators. Consistent with previous findings, we find that corporate managers use market liquidity as an input for firm investment decision. However, our results are different from previous findings of papers employing advanced countries data in the outcome that stock market liquidity affects different investment growth indicators differently. More importantly, these findings are fully explainable by the context of emerging markets.

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Liquidity of emerging markets

Cited by 670 publications

References 59 publications

Does Corporate Governance Affect Stock Liquidity in the Tunisian Stock Market?

Does Corporate Governance Affect Stock Liquidity in the Tunisian Stock Market?

Global versus Local Asset Pricing: A New Test of Market Integration

Stock Market Liquidity and Firm Investment: Evidence from Vietnam

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