Liquidity Risks and Asset Pricing: Evidence from Developed and Emerging Markets
The study examines the liquidity adjusted capital asset pricing model in developed and emerging markets. Amihud measure is used to compute market liquidity. Innovations in Amihud ratio are generated through the autoregressive process to avoid autocorrelation in illiquidity data series. Decile portf...
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| Format: | Article |
| Language: | English |
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Shaheed Zulfikar Ali Bhutto Institute of Science and Technology
2020-12-01
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| Series: | JISR Management and Social Sciences & Economics |
| Subjects: | |
| Online Access: | https://jisrmsse.szabist.edu.pk/index.php/szabist/article/view/59 |
| _version_ | 1797846615606689792 |
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| author | Sadia Saeed Saif ul Mujahid Shah Saadullah Shah |
| author_facet | Sadia Saeed Saif ul Mujahid Shah Saadullah Shah |
| author_sort | Sadia Saeed |
| collection | DOAJ |
| description |
The study examines the liquidity adjusted capital asset pricing model in developed and emerging markets. Amihud measure is used to compute market liquidity. Innovations in Amihud ratio are generated through the autoregressive process to avoid autocorrelation in illiquidity data series. Decile portfolios based on illiquidity cost are formulated for each stock market. Liquidity adjusted betas are calculated at the portfolio level and then stocks as test assets have been used in the regression stage. Panel regression with fixed effect has been employed on LCAPM specifications for explaining the excess stock returns of developed and emerging markets during a period July 2005- June 2017. The findings of the study support that individual and aggregate liquidity risk price in stock markets except for Pakistan. The results of the study suggest that investors institutional or individual should consider liquidity risks for assessing the worth of assets.
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| first_indexed | 2024-04-09T17:57:51Z |
| format | Article |
| id | doaj.art-4f8c6766d70b42a3bbfd1fae516aad77 |
| institution | Directory Open Access Journal |
| issn | 2616-7476 1998-4162 |
| language | English |
| last_indexed | 2024-04-09T17:57:51Z |
| publishDate | 2020-12-01 |
| publisher | Shaheed Zulfikar Ali Bhutto Institute of Science and Technology |
| record_format | Article |
| series | JISR Management and Social Sciences & Economics |
| spelling | doaj.art-4f8c6766d70b42a3bbfd1fae516aad772023-04-14T10:31:24ZengShaheed Zulfikar Ali Bhutto Institute of Science and TechnologyJISR Management and Social Sciences & Economics2616-74761998-41622020-12-0118210.31384/jisrmsse/2020.18.2.5Liquidity Risks and Asset Pricing: Evidence from Developed and Emerging MarketsSadia Saeed0Saif ul Mujahid Shah1Saadullah Shah2-Department of Management Science National University of Modern Languages (NUML), Islamabad, Pakistan. Department of Economics National University of Modern Languages (NUML), Islamabad, PakistanInstitute of Management Studies,University of Peshawar, Peshawar, Pakistan. The study examines the liquidity adjusted capital asset pricing model in developed and emerging markets. Amihud measure is used to compute market liquidity. Innovations in Amihud ratio are generated through the autoregressive process to avoid autocorrelation in illiquidity data series. Decile portfolios based on illiquidity cost are formulated for each stock market. Liquidity adjusted betas are calculated at the portfolio level and then stocks as test assets have been used in the regression stage. Panel regression with fixed effect has been employed on LCAPM specifications for explaining the excess stock returns of developed and emerging markets during a period July 2005- June 2017. The findings of the study support that individual and aggregate liquidity risk price in stock markets except for Pakistan. The results of the study suggest that investors institutional or individual should consider liquidity risks for assessing the worth of assets. https://jisrmsse.szabist.edu.pk/index.php/szabist/article/view/59Amihud ratio liquidity risksAsset PricingMarket liquidityStock marketemerging markets |
| spellingShingle | Sadia Saeed Saif ul Mujahid Shah Saadullah Shah Liquidity Risks and Asset Pricing: Evidence from Developed and Emerging Markets JISR Management and Social Sciences & Economics Amihud ratio liquidity risks Asset Pricing Market liquidity Stock market emerging markets |
| title | Liquidity Risks and Asset Pricing: Evidence from Developed and Emerging Markets |
| title_full | Liquidity Risks and Asset Pricing: Evidence from Developed and Emerging Markets |
| title_fullStr | Liquidity Risks and Asset Pricing: Evidence from Developed and Emerging Markets |
| title_full_unstemmed | Liquidity Risks and Asset Pricing: Evidence from Developed and Emerging Markets |
| title_short | Liquidity Risks and Asset Pricing: Evidence from Developed and Emerging Markets |
| title_sort | liquidity risks and asset pricing evidence from developed and emerging markets |
| topic | Amihud ratio liquidity risks Asset Pricing Market liquidity Stock market emerging markets |
| url | https://jisrmsse.szabist.edu.pk/index.php/szabist/article/view/59 |
| work_keys_str_mv | AT sadiasaeed liquidityrisksandassetpricingevidencefromdevelopedandemergingmarkets AT saifulmujahidshah liquidityrisksandassetpricingevidencefromdevelopedandemergingmarkets AT saadullahshah liquidityrisksandassetpricingevidencefromdevelopedandemergingmarkets |