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

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