Inter-Linkages between Liquidity and Stock Returns: An Empirical Investigation through Panel Cointegration

Inter-Linkages between Liquidity and Stock Returns: An Empirical Investigation through Panel Cointegration

This study examines long term and short term inter-linkage between liquidity dimensions and equity returns in oil and gas sector of an emerging stock market for the time period 2009-2015.Conventional liquidity ratio and Amihud ratio are used to capture Price impact. Roll estimator is employed to...

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Bibliographic Details
Main Authors: Sadia Saeed (Corresponding author), Arshad Hassan
Format: Article
Language:English
Published: Johar Education Society 2018-06-01
Series:Pakistan Journal of Commerce and Social Sciences
Subjects:
equity returns
price impact liquidity
market depth liquidity
transaction cost liquidity
amihud ratio
panel co-integration
granger causality
error correction model
Online Access:http://www.jespk.net/publications/440.pdf

Internet

http://www.jespk.net/publications/440.pdf

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