An Empirical Investigation of Liquidity and Stock Returns Relationship in Vietnam Stock Markets during Financial Crisis
An Empirical Investigation of Liquidity and Stock Returns Relationship in Vietnam Stock Markets during Financial Crisis
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金融危机期间越南股市流动性与股票收益关系的实证研究
DOI：
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发表时间：
2011
期刊：
影响因子：
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通讯作者：
J. Batten
中科院分区：
文献类型：
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作者：
X. Vo;J. Batten
本文利用2006年至2010年的数据，研究了金融危机期间越南股票市场流动性与股票收益之间的关系。利用胡志明市证券交易所上市公司特征的丰富而详细的数据集，分析结果表明，流动性对股票收益有正向影响。我们的结果与之前的结果相矛盾，即流动性与股票回报负相关，因为投资者要求溢价来补偿发达市场流动性差的股票。
This paper investigates the relationship between liquidity and stock returns in the Vietnam stock market during financial crisis using a data set ranging from 2006 to 2010. Employing a rich and detailed dataset of characteristics of firm listed in Ho Chi Minh City Stock Exchange, the results from the analysis indicate that liquidity positively affects stock returns. Our results contradict previous results that liquidity is negatively correlated with stock returns as investors required a premium to compensate for illiquid stocks in developed markets