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On the role of liquidity in emerging markets stock prices · Study

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ArticleOn the role of liquidity in emerging markets stock prices

Michael Donadelli2012

OA

Articlebronze2012

On the role of liquidity in emerging markets stock prices

Michael Donadelli · Lorenzo Prosperi

30 citations·0/0 files stored·Research in Economics

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Financial Markets and Investment Strategies Financial Analysis and Corporate Governance Financial Risk and Volatility Modeling

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References

1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*2002Illiquidity and stock returns: cross-section and time-series effects 1985Continuous Auctions and Insider Trading 2003Liquidity Risk and Expected Stock Returns 1986Asset pricing and the bid-ask spread 1994Automatic Lag Selection in Covariance Matrix Estimation 2005Asset pricing with liquidity risk 1984A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market

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2013Global integration and emerging stock market excess returns 2014Consumer attitudes, stock market liquidity, and the macro economy: A Canadian perspective

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2011Size, value and liquidity. Do They Really Matter on an Emerging Stock Market?article · 19 shared references 2010Illiquidity and Stock Returnsarticle · 19 shared references 2012Market Liquidity: Asset Pricing, Risk, and Crisesbook · 18 shared references 2019Is there an illiquidity premium in frontier markets?article · 17 shared references 2010Impact of liquidity on stock returns: an empirical investigation of the Tunisian stock marketarticle · 17 shared references 2007Liquidity and Expected Returns: Lessons from Emerging Marketsarticle · 15 shared references

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Year2012

Typearticle

Published2012-07-05

VenueResearch in Economics

ISSN-L0035-5054

Languageen

Citations30

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/j.rie.2012.06.001

openalex_workW1976375006

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