Liquidity and Asset returns: test of UK evidence
Abstract This paper examines the role of liquidity in explaining the asset return in UK stock market. The monthly data of LSE sample stocks over January 1993 to December 2008 are employed. The liquidity measured by turnover rate and bid-ask spreads are tested through both cross-sectional regression...
| Main Author: | |
|---|---|
| Format: | Dissertation (University of Nottingham only) |
| Language: | English |
| Published: |
2009
|
| Online Access: | https://eprints.nottingham.ac.uk/23219/ |
| _version_ | 1848792532934197248 |
|---|---|
| author | Hu, Danting |
| author_facet | Hu, Danting |
| author_sort | Hu, Danting |
| building | Nottingham Research Data Repository |
| collection | Online Access |
| description | Abstract
This paper examines the role of liquidity in explaining the asset return in UK stock market. The monthly data of LSE sample stocks over January 1993 to December 2008 are employed. The liquidity measured by turnover rate and bid-ask spreads are tested through both cross-sectional regression and time-series regression. In addition the well-known size effect, value effect and January seasonality effect are investigated as well. In general, this research shows that the liquidity premium exists in UK stock market and the turnover rate is a more powerful measure for proxy liquidity compared with bid-ask spreads. The study also confirms the negative correlation between the liquidity and asset returns across stocks and over time. It can be concluded that systematic liquidity should be a key determinant of asset returns. |
| first_indexed | 2025-11-14T18:45:54Z |
| format | Dissertation (University of Nottingham only) |
| id | nottingham-23219 |
| institution | University of Nottingham Malaysia Campus |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-14T18:45:54Z |
| publishDate | 2009 |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | nottingham-232192018-01-24T03:34:28Z https://eprints.nottingham.ac.uk/23219/ Liquidity and Asset returns: test of UK evidence Hu, Danting Abstract This paper examines the role of liquidity in explaining the asset return in UK stock market. The monthly data of LSE sample stocks over January 1993 to December 2008 are employed. The liquidity measured by turnover rate and bid-ask spreads are tested through both cross-sectional regression and time-series regression. In addition the well-known size effect, value effect and January seasonality effect are investigated as well. In general, this research shows that the liquidity premium exists in UK stock market and the turnover rate is a more powerful measure for proxy liquidity compared with bid-ask spreads. The study also confirms the negative correlation between the liquidity and asset returns across stocks and over time. It can be concluded that systematic liquidity should be a key determinant of asset returns. 2009-09-25 Dissertation (University of Nottingham only) NonPeerReviewed application/pdf en https://eprints.nottingham.ac.uk/23219/1/Danting_HU-Liquidity_and_asset_returns.pdf Hu, Danting (2009) Liquidity and Asset returns: test of UK evidence. [Dissertation (University of Nottingham only)] (Unpublished) |
| spellingShingle | Hu, Danting Liquidity and Asset returns: test of UK evidence |
| title | Liquidity and Asset returns: test of UK evidence |
| title_full | Liquidity and Asset returns: test of UK evidence |
| title_fullStr | Liquidity and Asset returns: test of UK evidence |
| title_full_unstemmed | Liquidity and Asset returns: test of UK evidence |
| title_short | Liquidity and Asset returns: test of UK evidence |
| title_sort | liquidity and asset returns: test of uk evidence |
| url | https://eprints.nottingham.ac.uk/23219/ |