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Market liquidity and stock returns in the Norwegian stock market

Author

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  • Leirvik, Thomas
  • Fiskerstrand, Sondre R.
  • Fjellvikås, Anders B.

Abstract

We analyze the liquidity sensitivity of stock returns in the Norwegian stock market over the period 1983–2015. Even though the liquidity measures we apply are standard in the literature, we find no evidence of a relationship between returns and market liquidity. This is in strong contrast to the evidence of a significant sensitivity to liquidity in the US market, and suggest further analysis on the topic.

Suggested Citation

  • Leirvik, Thomas & Fiskerstrand, Sondre R. & Fjellvikås, Anders B., 2017. "Market liquidity and stock returns in the Norwegian stock market," Finance Research Letters, Elsevier, vol. 21(C), pages 272-276.
    • Handle: RePEc:eee:finlet:v:21:y:2017:i:c:p:272-276
    DOI: 10.1016/j.frl.2016.12.033
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    References listed on IDEAS

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    Cited by:

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    2. Tran, Vu Le & Leirvik, Thomas, 2020. "Efficiency in the markets of crypto-currencies," Finance Research Letters, Elsevier, vol. 35(C).
    3. Jonathan Batten & Xuan Vinh Vo, 2019. "Liquidity And Firm Value In An Emerging Market," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 64(02), pages 365-376, March.
    4. Saw Imm Song & Jennifer Tunga Janang & Erimalida Yazi & Fareiny Morni, 2022. "The Effects of Market Strength, Information Asymmetry, and Industrial Characteristics on Malaysian Firms’ CAR During COVID-19 Pandemic," Capital Markets Review, Malaysian Finance Association, vol. 30(1), pages 1-15.
    5. Gan, Quan & Leung, Henry & Zhou, Zhou, 2021. "Do intra-day auctions improve market liquidity?," Finance Research Letters, Elsevier, vol. 40(C).
    6. Francisco Javier Vasquez-Tejos & Prosper Lamothe Fernández, 2020. "Liquidity Risk and Stock Return in Latin American Emerging Markets," Investigación & Desarrollo, Universidad Privada Boliviana, vol. 20(1), pages 57-74.
    7. Onur Özdemir, 2022. "Cue the volatility spillover in the cryptocurrency markets during the COVID-19 pandemic: evidence from DCC-GARCH and wavelet analysis," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-38, December.
    8. Leirvik, Thomas, 2022. "Cryptocurrency returns and the volatility of liquidity," Finance Research Letters, Elsevier, vol. 44(C).

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    More about this item

    Keywords

    Market liquidity; Stock returns; Stocks; Survivor bias free; Predictability;
    All these keywords.

    JEL classification:

    • C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • G1 - Financial Economics - - General Financial Markets
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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