Market liquidity and stock size premia in emerging financial markets: The implications for foreign investment

Hearn, Bruce; Piesse, Jenifer; Strange, Roger

doi:10.1016/j.ibusrev.2009.02.009

Cited by 56 publications

(40 citation statements)

References 16 publications

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“…Stock markets are increasingly considered as investment funds in many emerging markets (Hearn et al 2010). The remarkable development highlights the importance to shed further light in Vietnam stock market.…”

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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Section: Introductionmentioning

confidence: 99%

Stock Market Liquidity and Firm Investment: Evidence from Vietnam

Ha¹,

Vo²

2017

JIBE

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“…Lack of professional investment in a given company in turn implies a lack of analysts who will follow the company, and reduced incentive and pressure for the company to provide information to the market. Lower liquidity is associated with higher transaction costs of raising share capital (Butler et al 2005), and with a higher expected return on equity, or cost of equity, gross of trading costs (for example, Hearn et al 2010). Both these factors make equity capital more expensive than it would be were the company's shares more liquid.…”

Section: Introductionmentioning

confidence: 99%

Liquidity Measures and Cost of Trading in an Illiquid Market

Armitage

Brzeszczyński

Serdyuk

2014

Journal of Emerging Market Finance

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We provide the first in-depth study of trading on the Ukrainian stock exchange, using trade-by-trade data. Though Ukraine has some large listed companies, the market is quite illiquid. We study the efficiency of five liquidity measures in the market. The proportion of no-trading days is the most reliable of the five, while turnover, which is widely used in the literature, is a poor measure. On trading cost, trades in all size categories are executed within the quoted spread, as in other dealership markets, with medium-sized trades being the cheapest. The cost of sales is higher than the cost of purchases in all market conditions. JEL: G15, C51

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“…We have, however, not seen these distributions in empirical work in emerging and frontier markets. Given investors perception that these two markets are risky (see Claessens, Dasgupta, & Glen, 1995;Errunza & Padmanabhan, 1988;Hassan, Maroney, El-Sady, & Telfah, 2003;Hearn, Piesse, & Strange, 2010); the need arises to establish risk-return characteristics in equity and indeed related securities in these markets on a sound theoretical footing. In this paper, therefore, we find the better fit for log returns of the Johannesburg Stock Exchange All Share Index (JSE-ASI) between the GMM and MLE methods.…”

Section: Introductionmentioning

confidence: 99%

Generalised Lambda Distributions by Method of Moments and Maximum Likelihood using the JSE-ASI Returns

Owusu

Korkpoe

2017

AJFA

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The four-parameter generalised lambda distribution provides the flexibility required to describe the key moments of any distribution as compared with the normal distribution which characterises the distribution with only two moments. As markets have increasingly become nervous, the inadequacies of the normal distribution in capturing correctly the tail events and describing fully the entire distribution of market returns have been laid bare. The focus of this paper is to compare the generalised method of moments (GMM) and maximum likelihood essential estimates (MLE) methods as subsets of the GLD for a better fit of JSE All Share Index returns data. We have demonstrated that the appropriate method of the GLD to completely describe the measures of central tendency and dispersion by additionally capturing the risk dimensions of skewness and kurtosis of the return distribution is the Generalised Method of Moments (GMM) with the Kolmogorov-Smirnoff Distance good-of-fit statistics and the quantile-quantile graph. These measures are very important to any investor in the equity markets.

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Market liquidity and stock size premia in emerging financial markets: The implications for foreign investment

Cited by 56 publications

References 16 publications

Stock Market Liquidity and Firm Investment: Evidence from Vietnam

Stock Market Liquidity and Firm Investment: Evidence from Vietnam

Liquidity Measures and Cost of Trading in an Illiquid Market

Generalised Lambda Distributions by Method of Moments and Maximum Likelihood using the JSE-ASI Returns

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