2010
DOI: 10.1016/j.irfa.2010.08.007
|View full text |Cite
|
Sign up to set email alerts
|

Time varying size and liquidity effects in South Asian equity markets: A study of blue-chip industry stocks

Help me understand this report

Search citation statements

Order By: Relevance

Paper Sections

Select...
1
1
1
1

Citation Types

3
5
0

Year Published

2012
2012
2024
2024

Publication Types

Select...
9
1

Relationship

0
10

Authors

Journals

citations
Cited by 19 publications
(8 citation statements)
references
References 37 publications
3
5
0
Order By: Relevance
“…The regression estimation documented that beta was insignificant to measure the variance in stock return because of asymmetric information and underdevelop equity markets in the South Asia region. Findings for size factor were compatible with existing literature which illustrated that firms having smaller market capitalization outperform the market with larger market capitalization and findings are consistent with (Hearn, 2010). Book to market and earning to price ratios used as a proxy to determine the value factor and both ratios showed a consistent result which indicated that the smaller companies with lower book value generate a more significant return in comparison of larger companies with higher value ratios Fama and French (2016), who specifies that tax regimes and prudential regulations cause to generate a difference in investor behavior in the market.…”
Section: Conclusion and Practical Implications 51 Conclusionsupporting
confidence: 87%
“…The regression estimation documented that beta was insignificant to measure the variance in stock return because of asymmetric information and underdevelop equity markets in the South Asia region. Findings for size factor were compatible with existing literature which illustrated that firms having smaller market capitalization outperform the market with larger market capitalization and findings are consistent with (Hearn, 2010). Book to market and earning to price ratios used as a proxy to determine the value factor and both ratios showed a consistent result which indicated that the smaller companies with lower book value generate a more significant return in comparison of larger companies with higher value ratios Fama and French (2016), who specifies that tax regimes and prudential regulations cause to generate a difference in investor behavior in the market.…”
Section: Conclusion and Practical Implications 51 Conclusionsupporting
confidence: 87%
“…Many liquidity studies include trading volume per time interval (Qt) (Campbell et al, 1993;Lee & Swaminathan, 2000;Lo & Wang, 2006a;Chordia & Swaminathan, 2000;Wang, 2002;Sun, 2003;Nagel, 2005;Hearn et al, 2010;Hearn, 2010;Chandrapala, 2011). The average number of shares traded every day during year t-1 is known as trading volume (Chordia & Swaminathan, 2000).…”
Section: Raneem Ghazi Aldekimentioning
confidence: 99%
“…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 Liquiditymentioning
confidence: 99%