The returns, risk and liquidity relationship in high frequency trading: Evidence from the Oslo stock market

Dinh, Minh Thi Hong

doi:10.1016/j.ribaf.2016.07.013

Cited by 9 publications

(5 citation statements)

References 29 publications

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“…A positive effect of lower liquidity was evidenced on expected stock returns by Asparouhova et al (2010). Similar results were obtained by Chang et al (2010) and Dinh (2017) while evaluating the liquidity of stocks across different sizes and by Baradarannia and Peat (2013) during the pre-crisis period. Furthermore, Hearn (2010Hearn ( , 2011 found that market liquidity plays an important role in determining stock returns mainly in less competitive stock markets as these markets are characterized to have a high cost of equity.…”

Section: Measurement Of Stock Market Liquiditysupporting

confidence: 77%

Stock Market Liquidity: A Literature Review

Naik

Reddy

2021

Sage Open

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The purpose of this study is to identify the key aspects that have been studied in the area of stock market liquidity, accumulate their important findings, and also provide a quantitative categorization of reviewed literature that will facilitate in conducting further research. The study analyzes relevant research papers published after the global financial crisis of 2008 and finds that measurement of liquidity, factors influencing liquidity, the relationship between market liquidity and expected return, and market liquidity risk and its relationship with expected returns have been explored in the context of the stock market liquidity. Among these, the factors influencing liquidity have been prominently researched in the reviewed studies. The study concludes that the identified areas can be potentially researched concerning the emerging markets by considering the multidimensional quality of market liquidity. Also, the inter-linkages between the liquidity of emerging markets with that of the global stock markets can be further evaluated.

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Section: Measurement Of Stock Market Liquiditysupporting

confidence: 77%

Stock Market Liquidity: A Literature Review

Naik

Reddy

2021

Sage Open

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“…This result shows that market liquidity does not significantly affect the BIST-100 Index Return. These results are similar to the results obtained by Marshall and Young' (2003), Martinez et al (2005), Chiang and Zheng (2015), Hartian and Sitorus (2015), Jun et al (2003), Narayan and Zheng (2011), Batten and Vo (2014), Assefa and Mollick (2014), Dinh (2017), Leirvik et al (2017), Bhattacharya et al (2019) and Boloupremo (2020). Unlike the findings we obtained in our study, Chang et al (2010) showed a negative relationship between stock returns and liquidity; Brana and Prat (2016), on the other hand, found different directional relationships between stock returns and liquidity in different periods.…”

Section: Chart 1: Correlation Matrixsupporting

confidence: 91%

“…In the majority of studies examining the relationships between stock return and liquidity, no significant relationship was revealed (Marshall and Young, 2003;Martinez, Nieto, Rubio and Tapia, 2005;Chiang and Zheng, 2015;Hartian and Sitorus, 2015;Jun, Marathe and Shawky, 2003;Narayan and Zheng, 2011;Batten and Vo, 2014;Assefa and Mollick, 2014;Dinh 2017;Leirvik, Fiskerstrand and Fjellvikas, 2017;Bhattacharya, Bhattacharya and Basu, 2019;and Boloupremo 2020). As opposed to this, Chang, Faff and Hwang (2010) examined the Tokyo Stock Exchange and discovered a significantly negative relationship between stock return and liquidity.…”

Section: Literature Reviewmentioning

confidence: 99%

COVİD-19 Döneminde Hisse Senedi Volatilitesi, Likidite, Döviz Kuru Getirisi Ve Hisse Senedi Getirisi Arasindaki İlişki: BİST-100 Örneği

Bulut

Şimşek

2023

Bingöl Üniversitesi İktisadi Ve İdari Bilimler Fakültesi Dergisi

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At the end of 2019, COVID-19 first appeared in China and quickly spread throughout the world. Globally, the pandemic has had a negative impact on numerous industries. Similarly, this epidemic has had an impact on financial markets. This study examined the time period between March 11, 2020, when the first case was seen in Turkey, and May 23, 2022, when the pandemic measures were largely lifted. In this research, we examine the relationship between stock returns and liquidity, volatility, and exchange rate returns in Turkish stock markets by using the Markov Switching Method. The study aims to research the relationship between stock exchange return, stock exchange volatility, liquidity, and foreign exchange rate return; and to research the movement characteristics of selected variables in different regimes during the Covid-19 period. By analyzing the results within the scope of the findings, a general evaluation was given in the last section. According to the results, it has been observed that there is a negative correlation between BIST-100 index return with volatility and exchange rate return, while there is a positive correlation between BIST-100 index return and liquidity. Furthermore, it has been determined that the movements of the data in the examined period occurred within the framework of two different regimes. It has been observed that the probability of BIST-100 index return, volatility, and exchange rate returns to remain in the same regime is high, and the probability of switching from one regime to another is relatively low. For market liquidity, it has been determined that both the probability of staying in the same regime and the probability of switching to another regime are close to each other.

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“…Moreover, according to Dinh (2017), the effect of liquidity on IR is stronger than systematic risk. Their results suggested a positive relationship between liquidity and IR in high-frequency trading stocks as compared to low-frequency trading stocks.…”

Section: Liquiditymentioning

confidence: 99%

Determinants of idiosyncratic risk: evidence from BRICS countries

Kausar

Shah

Rashid

2022

APJBA

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PurposeThis study examines the determinants of idiosyncratic risk (IR) or unsystematic risk. The study also examines the determinants of IR by dividing the firms into different categories: beta-based firms, liquid and illiquid firms and financially constrained (FC) and unconstrained (FUC) firms.Design/methodology/approachThe fixed effects static panel data model specifications are formulated based on Hausman (1978) test for BRICS (Brazil, Russia, India, China, and South Africa) member countries over the period 2000–2019. Moreover, the t-test is applied to see whether the returns of different types of portfolios are significantly different.FindingsThe portfolio analysis results show that, on average, high IR firms tend to be small in size, highly leveraged, have low competitiveness, low profitability, less dividend yield and low returns for all the sampled countries. The sample paired t-test also confirms that a significant difference exists between extreme portfolios: small and large size and low IR and high IR portfolios. The panel regression results show that firm size, market power, price-to-earnings ratio, return on equity (ROE) and dividend yield negatively relates to IR. Yet, both leverage and liquidity are positively related to IR. However, the sign of momentum returns is mostly positive for the entire sample. The coefficient values for high-beta, FC and illiquid firms are more significant and large than the firms' counterparts for all BRICS member countries. These results support the hypothesis of an under-diversified portfolio and suggest that the above-mentioned firm-specific variables are the significant determinants of unsystematic risk.Practical implicationsThe securities exchange commission, as the supervisor of the public limited companies, needs to increase its role in investor protection related to the uncertainty of investment in the capital market. Accordingly, in making investment decisions in a stock exchange, investors can use the information that captures unsystematic risk for investment decision-making.Originality/valueThis study is the first to explore the determinants of IR in top emerging countries. Second, none of the existing studies has focused on the determinants of the IR based on different categories of firms.

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The returns, risk and liquidity relationship in high frequency trading: Evidence from the Oslo stock market

Cited by 9 publications

References 29 publications

Stock Market Liquidity: A Literature Review

Stock Market Liquidity: A Literature Review

COVİD-19 Döneminde Hisse Senedi Volatilitesi, Likidite, Döviz Kuru Getirisi Ve Hisse Senedi Getirisi Arasindaki İlişki: BİST-100 Örneği

Determinants of idiosyncratic risk: evidence from BRICS countries

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