| Summary: | This paper examines the possibility of earning super normal returns from trading illiquid stocks in the Singapore Stock Exchange (SGX). Using trading volume as a proxy for liquidity, we examine the correlation between trading volume and stock returns and seek to determine if the holding period has an impact on the returns of illiquid stocks. We consider both the equal-weighted and value-weighted returns and proceed to examine the arithmetic and geometric means of the equal- and value-weighted returns of each holding period. We found evidence of correlation between the trading volume, holding period and returns on stock. Generally, the more illiquid a stock and the longer the investor holds on to it for, the higher the returns.
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