Using data for 27 emerging equity markets for the period January 1992 through
December 1999, we find that stock returns in emerging countries are positively
correlated with market liquidity as measured by turnover ratio, trading value as
well as turnover-volatility multiple. The results hold in both cross-sectional and
time-series analyses, and are quite robust even after we control for world market
beta, market capitalization and price-to-book ratio. The positive correlation
between stock returns and market liquidity in a time-series analysis is consistent
with the findings in developed markets. However, the positive correlation in a cross-
sectional analysis appears at odds with market microstructure theory that has been
empirically supported by studies on developed markets.
게시판
공지사항
[2002년 제 2차] Liquidity and Emerging Equity Market Returns
작성자 : 관리자
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게시일 :
2003-07-12
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