Liquidity and return relationships in an emerging market

• Autores: Jonathan A. Batten, Xuan Vinh Vo
• Localización: Emerging Markets Finance & Trade, ISSN-e 1558-0938, Vol. 50, Nº. 1, 2014, págs. 5-21
• Idioma: inglés
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• Resumen

  • In this paper, we investigate the relationship between liquidity and stock returns in the Vietnam stock market during the global financial crisis. Vietnam is one of a new group of frontier emerging markets referred to as CIVETS (Colombia, Indonesia, Vietnam, Egypt, Turkey, and South Africa). We use a rich and detailed data set of firm characteristics to identify a positive relationship between liquidity and stock returns. This contradicts the negative correlation typically found in stock returns in developed markets. Our results support the proposition that when a market is not fully integrated with the global economy, a lack of liquidity will be a less important risk factor. Our findings contribute to those studies that highlight the diversification benefits from including frontier markets, which have a lower degree of integration with the global economy, in international portfolios