Liquidity and stock returns in emerging equity markets

Jun, Sang-gyung; Marathe, Achla; Shawky, Hany A.

doi:10.1016/s1566-0141(02)00060-2

Cited by 128 publications

(94 citation statements)

References 26 publications

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“…Trading volume (TV) of Baker and Wurgler (2007) and turnover volatility ratio (TVR) of Datar, Naik, and Radcliffe (1998) represents the market liquidity measurement in the sense of Jun and Shawky (2003). The TV is measured as the NSE Nifty turnover, and TVR is the turnover ratio divided by the standard deviation of the market returns of that particular month.…”

Section: Definition and Construction Of Investor Sentiment Indexmentioning

confidence: 99%

Investor Sentiment and Stock Market Volatility: Evidence from India

Kumari

Mahakud

2016

Journal of Asia-Pacific Business

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In this article, the authors probe the role of irrational investor sentiment in the determination of Indian stock market volatility. The authors developed a new irrational aggregate sentiment index (IASI) to examine the issue. The conditional volatility is extracted from the nonlinear univariate models for the market indices and the IASI. The vector autoregression (VAR) is carried out to analyze the relationship between the volatility of irrational aggregate sentiment index and stock market volatility. The authors find a unidirectional causality from sentiment to stock market volatility, and their findings highlight the significance of sentiment in explaining the stock market volatility in India.

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Section: Definition and Construction Of Investor Sentiment Indexmentioning

confidence: 99%

Investor Sentiment and Stock Market Volatility: Evidence from India

Kumari

Mahakud

2016

Journal of Asia-Pacific Business

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“…These results can go back to the fact that if there is a decrease in depth, access or efficiency, the market will be riskier and therefore the stock returns will increase (Fama and French, 1992). Furthermore, liquidity shows a positive and significant relationship with stock returns which agree with the findings from Jun, Marathe and Shawky (2003).…”

Section: Discussionsupporting

confidence: 75%

The impact of financial development, financial constraints and capital controls on stock returns

Guzman¹,

Gabriela²

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“…In contrast toJun et al (2003),Lischewski and Voronkova (2012) find that liquidity does not matter for an emerging market such as Poland, but explain this finding by specific characteristics of the Polish equity market during the period of their study.…”

mentioning

confidence: 86%

“…Since the work of Amihud and Mendelson (1986) liquidity has long been recognized as an important factor that affects stock returns (for example Chordia et al, 2000;Hasbrouck and Seppi, 2001;Pastor and Stambaugh, 2003;Acharya and Pedersen, 2005;Bekaert et al, 2007 among others). Jun et al (2003) focus more specifically on emerging markets and find that stock returns are significantly correlated with aggregate market liquidity measures such as turnover ratios based on a sample of 27 emerging equity…”

Section: Liquiditymentioning

confidence: 99%