Febrianto, Igo (2016) The Effect of Liquidity on Stock Return in Bullish and Bearish Condition: Empirical Evidence in Indonesia and Japan Stock Market. In: Joint Conference The AGBA 13th Annual World Congress, 26-27 November 2016, Solo, Indonesia. (Unpublished)

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The purpose of this research is to examine the dynamic effect of liquidity as a risk factor affecting stock returns in different market conditions(bullish and bearish), and in two different market developments (emerging and developed).Several measures of levels and level variability of liquidity are employed. The data used is from Indonesian and Japanesse capital markets representing emerging and developed markets, repectively. The results of the study show that liquidity is found to be an important factor affecting portfolio returns. Liquidity has also different effect in bullish and bearish stock market condition. Liquidity risk factor, however, could not clearly explain the different characteristics of emerging and developed stock markets. The results also show the pattern correlation between liquidity effect and particular liquidity category in the developed portfolios. These findings highlight future avenues through which liquidity risk factor can potentially trascend into accounting research, related to information quality and transparency.

Item Type: Conference or Workshop Item (Paper)
Subjects: H Social Sciences > HG Finance
Divisions: Fakultas Ekonomi dan Bisnis (FEB) > Prodi Manajemen
Depositing User: IGO FEBRIA
Date Deposited: 07 Jun 2017 09:06
Last Modified: 07 Jun 2017 09:06
URI: http://repository.lppm.unila.ac.id/id/eprint/2910

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