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New evidence on the impact of implicit trading costs on asset prices in the Russian stock market

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  • Tamara Teplova
  • Sergei Gurov

Abstract

We perform a comprehensive study of different illiquidity effects in the relatively illiquid Russian stock market. Over the period 2010–2020, we apply cross-sectional and time-series regressions using two low-frequency illiquidity proxies: the Amihud ratio and the invariance-implied ratio. The evidence suggests that implicit trading costs influence only the returns of small-capitalization stocks or low size double-sorted portfolios. The Amihud ratio overestimates the illiquidity premium for small-cap stocks as predicted by the invariance theory. However, we find that the effect is economically and statistically significant only in the time-series.

Suggested Citation

  • Tamara Teplova & Sergei Gurov, 2022. "New evidence on the impact of implicit trading costs on asset prices in the Russian stock market," Applied Economics, Taylor & Francis Journals, vol. 54(51), pages 5943-5955, November.
    • Handle: RePEc:taf:applec:v:54:y:2022:i:51:p:5943-5955
    DOI: 10.1080/00036846.2022.2055743
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