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Stock liquidity and return distribution: Evidence from the London Stock Exchange

Author

Listed:
  • Wang, Andong
  • Hudson, Robert
  • Rhodes, Mark
  • Zhang, Sijia
  • Gregoriou, Andros

Abstract

We investigate the relationship between liquidity and the distribution of returns, for all listed firms on the London Stock Exchange between 2002–2018. We find a strong relationship between the distribution of returns, as measured by skewness and kurtosis, and liquidity.

Suggested Citation

  • Wang, Andong & Hudson, Robert & Rhodes, Mark & Zhang, Sijia & Gregoriou, Andros, 2021. "Stock liquidity and return distribution: Evidence from the London Stock Exchange," Finance Research Letters, Elsevier, vol. 39(C).
    • Handle: RePEc:eee:finlet:v:39:y:2021:i:c:s1544612320301811
    DOI: 10.1016/j.frl.2020.101539
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    References listed on IDEAS

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    10. Ivanovski, Zoran & Stojanovski, Toni & Narasanov, Zoran, 2015. "Volatility And Kurtosis Of Daily Stock Returns At Mse," UTMS Journal of Economics, University of Tourism and Management, Skopje, Macedonia, vol. 6(2), pages 209-221.
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    Cited by:

    1. He, Xiqiong & Gu, Xiang & Liu, Hao, 2023. "Stock liquidity and controlling shareholders' encroachment of private interests: Evidence from China," Finance Research Letters, Elsevier, vol. 56(C).
    2. Liu, Yiye & Han, Liyan & Wu, You, 2022. "Can skewness predict CNY-CNH spread?," Finance Research Letters, Elsevier, vol. 46(PB).
    3. Gofran, Ruhana Zareen & Gregoriou, Andros & Haar, Lawrence, 2022. "Impact of Coronavirus on liquidity in financial markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 78(C).

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    More about this item

    Keywords

    Skewness; Kurtosis; Liquidity; Amihud ratio; Bid-ask spread; Zero-return days;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G33 - Financial Economics - - Corporate Finance and Governance - - - Bankruptcy; Liquidation

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