Analysis of the Liquidity Effect on Stock Return: Empirical Evidence from the UK Stock Market over the Period 1993-2008
This study examines the behaviour of liquidity in the UK market during the period January 1993 through December 2008. Turnover rate and relative bid-ask spread are used to proxy liquidity characteristics of stocks. The empirical results indicate that the liquidity effect does not significant in the...
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| Format: | Dissertation (University of Nottingham only) |
| Language: | English |
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2009
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| Online Access: | https://eprints.nottingham.ac.uk/23178/ |