Analysis of the Liquidity Effect on Stock Return: Empirical Evidence from the UK Stock Market over the Period 1993-2008

QR Code

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...

Full description

Bibliographic Details
Main Author:	Jiang, Shuai-yu
Format:	Dissertation (University of Nottingham only)
Language:	English
Published:	2009
Subjects:	Liquidity Effect January Effect Liquidity Premium CAPM
Online Access:	https://eprints.nottingham.ac.uk/23178/

Similar Items

Review and Comparison of the Models for Asset Pricing with Empirical Evidence from UK Stock Market
by: Tam, Ka Tung
Published: (2007)

Review and Comparison of the Models for Asset Pricing with Empirical Evidence from UK Stock Market
by: Tam, Ka Tung
Published: (2007)

The Adaptive Market Hypothesis：An empirical study on the UK stock market
by: WANG, KAIXIN
Published: (2019)

Empirical Study On Anomalies Of Singapore Stock Market
by: Sim, Meng Hwee Andrew
Published: (2006)

An Empirical Study of Comparison Between the Capital Asset Pricing Model and the Fama-French Three Factor Model: Evidence From Taiwan Stock Market
by: YEH, YU-JEN
Published: (2006)

Liquidity analysis of finance companies and effect of economic indicators: a liquidity management perspective / Hezal Ahmad
by: Ahmad, Hezal
Published: (1994)

Liquidity, consumption, and the cross-sectional returns
by: Luo, Di
Published: (2014)

Stratifying of liquid-liquid two phase flows through sudden expansion.
by: Yusoff, Nazrul Hizam
Published: (2012)

Pricing futures and real options with a liquidity factor: theory and evidence
by: Ding, Shusheng
Published: (2016)

Time series properties of liquidation discount
by: Chan, Felix, et al.
Published: (2013)

Liquidity risk and performance of banking industry: case study of top-3 local bank of Malaysia / Mahathir Zainal Abidin
by: Abidin, Mahathir Zainal
Published: (2017)

Liquidity, activity and leverage ratios effect on profitability in Bursa Malaysia: Consumer product companies (2001-2005) / Norhafizah Kamisan
by: Kamisan, Norhafizah
Published: (2006)

Microscopic evidence for liquid-liquid separation in supersaturated CaCO3 solutions
by: Wallace, A., et al.
Published: (2013)

Effects of Malaysian employee stock option scheme on stock liquidity, productivity, and earnings management of listed firms
by: Katan, Maheran
Published: (2012)

Performance testing of a cross-flow membrane-based liquid desiccant dehumidification system
by: Bai, Hongyu, et al.
Published: (2017)

Measurement of Space Charge Distributions in PLZT using Kerr Effect
by: Wong, Kiing-Ing
Published: (2012)

Shari’ah compliant liquid commodity market : {An expositional study on Bursa Suq al-Sil’ah in Malaysia} / Abdul Azeez Maruf Olayemi ... [et al.]
by: Hasan, Aznan, et al.
Published: (2015)

Illiquidity and stock returns: Evidence from UK stock market over 1993 to 2008
by: Wang, Shuyan
Published: (2009)

Electrochemical behaviour of denatured haemoglobin at the liquid|liquid interface
by: Herzog, G., et al.
Published: (2010)

Monodomain liquid crystal elastomers and elastomeric gels: Improved thermomechanical responses and phase behaviour by addition of low molecular weight LCs
by: Brown, David, et al.
Published: (2007)

Electrochemical behaviour of myoglobin at an array of microscopic liquid–liquid interfaces
by: O'Sullivan, S., et al.
Published: (2012)

Does liquidity drive stock market returns? the role of investor risk aversion
by: Zhang, Qingjing, et al.
Published: (2021)

Investigation of periodic structures in gas-liquid flow
by: Alamu, Mhunir Bayonle
Published: (2010)

Stock liquidity and dividend payouts in the emerging markets
by: Bakri, Mohd Ashari
Published: (2020)

Test of CAPM in China Stock Market
by: Chen, Xin
Published: (2006)

Enhanced Electroanalytical Sensitivity via Interface Miniaturisation: Ion Transfer Voltammetry at an Array of Nanometre Liquid–Liquid Interfaces
by: Scanlon, M., et al.
Published: (2011)

Synthesis And Characterization Of New Series Of Liquid Crystalline Compounds Containing Azobenzene And Bisazobenzene Moieties
by: Abubakar Salisu, Abdulsalam
Published: (2009)

The management of liquidity risk in islamic banks: the evidence from Malaysia / Nur Fatehah Hasyimah Hassim
by: Hassim, Nur Fatehah Hasyimah
Published: (2017)

Stability Of Thin Liquid Film Under Effect Of Apolar And Electrostatic Forces On A Horizontal Plane
by: El-Harbawi, Mohanad M-A.
Published: (2002)

Liquidity risk management and financial performance in Malaysia: empirical evidence from Islamic banks
by: Mohd Ariffin, Noraini
Published: (2012)

The Calendar Effect on A-Share Index Return in Chinese Stock Market
by: Cao, Qi
Published: (2006)

Issues on Interbank Commodity Murabaha (CM) for liquidity management in Malaysia / Mohamad Zabidi Ahmad, Rosylin Mohd Yusof and Ahmad Rizal Mazlan
by: Ahmad, Mohamad Zabidi, et al.
Published: (2020)

Modelling and Control of Liquid Level System
by: Yaacob, Marizan
Published: (2001)

Numerical study on inertial effects on liquid-vapor flow using lattice Boltzmann method
by: Lei, Shurong, et al.
Published: (2019)

An Investigation of the Chinese Lunar New Year Effect in stock returns: the case of Hong Kong
by: Zhou, Yi
Published: (2007)

Stripping voltammetric detection of insulin at liquid–liquid microinterfaces in the presence of bovine albumin
by: O'Sullivan, S., et al.
Published: (2013)

Detection of haemoglobin using an adsorption approach at a liquid – liquid microinterface array
by: Alvarez de Eulate, Eva, et al.
Published: (2013)

An Empirical Test of CAPM: Evidence from Shanghai Stock Exchange 2001-2005
by: Wu, Xinxin
Published: (2006)

Are the new crypto-currencies qualified to be included in the stock of high quality liquid assets? a case study of bitcoin currency : a case study of bitcoin currency
by: Othman, Anwar Hasan Abdullah
Published: (2019)

What drives issue spreads on commercial paper?: Evidence from New Zealand commercial paper tenders
by: Poskitt, Russell
Published: (2013)