Advanced search
Publication Cover
Emerging Markets Finance and Trade Volume 50, 2014 - Issue 1
Submit an article Journal homepage
542
Views
59
CrossRef citations to date
0
Altmetric
Original Article

Liquidity and Return Relationships in an Emerging Market

Jonathan A. Batten Department of Banking and Finance, Monash University, Caulfield, Victoria, Australia
&
Xuan Vinh Vo Faculty of Banking, University of Economics, Ho Chi Minh City, Vietnam
Pages 5-21 | Published online: 05 Dec 2014

Citations (59)

Keep up to date with the latest research on this topic with citation updates for this article.

Subscribe to citation updates

Read on this site (9)

Xuan Vinh Vo. (2022) Can liquidity explain dividends?. Cogent Business & Management 9:1.
Read now
Suraj Kumar & Krishna Prasanna. (2021) Liquidity commonality on National Stock Exchange: size and sector effect. Applied Economics Letters 28:14, pages 1208-1221.
Read now
Abdullah M. Al-Awadhi & Bader S. Alhashel. (2020) Liquidity and retail traders: the case of Saudi Stock Exchange. Applied Economics Letters 27:12, pages 1033-1037.
Read now
Jonathan Batten & Xuan Vinh Vo. (2019) Determinants of Bank Profitability—Evidence from Vietnam. Emerging Markets Finance and Trade 55:6, pages 1417-1428.
Read now
Anh Phong Nguyen, Hoang Anh Nguyen, Thi Hong Minh Ho & Phu Thanh Ngo. (2019) Risk and returns of different foreign ownership portfolios: Evidence from Vietnam stock market. Cogent Economics & Finance 7:1.
Read now
Darcy Fuenzalida, Luis Berggrun & Samuel Mongrut. (2017) Illiquidity Premium in the MILA. Emerging Markets Finance and Trade 53:5, pages 1015-1029.
Read now
Yigit Atilgan, K. Ozgur Demirtas & A. Doruk Gunaydin. (2016) Liquidity and equity returns in Borsa Istanbul. Applied Economics 48:52, pages 5075-5092.
Read now
Sei-Wan Kim, Young-Min Kim & Moon-Jung Choi. (2015) Asia-Pacific Stock Market Integration: New Evidence by Incorporating Regime Changes. Emerging Markets Finance and Trade 51:sup4, pages S68-S88.
Read now
Jeewon Jang, Jangkoo Kang & Changjun Lee. (2015) State-Dependent Illiquidity Premium in the Korean Stock Market. Emerging Markets Finance and Trade 51:2, pages 400-417.
Read now

Articles from other publishers (50)

Yuting Hou & Xiu Jin. (2024) Downside liquidity risk premium: From the perspective of higher moment. The North American Journal of Economics and Finance 69, pages 102031.
Crossref
Benedicto Kulwizira Lukanima, Luis Javier Sanchez-Barrios & Yuli Paola Gómez-Bravo. (2024) Towards understanding MILA stock markets integration beyond MILA: New evidence between the pre-Global financial crisis and the COVID19 periods. International Review of Economics & Finance 89, pages 478-497.
Crossref
Xiangqian Huang, Clark Liu & Tao Shu. (2023) Factors and anomalies in the Vietnamese stock market. Pacific-Basin Finance Journal 82, pages 102176.
Crossref
Le Quy Duong. (2023) The value and growth effect in the Vietnamese stock market: a mispricing explanation. Review of Behavioral Finance.
Crossref
Emre Su & Kaya Tokmakçıoğlu. (2023) Determinants of bid-ask spread in emerging sovereign bond markets. Journal of Asset Management 24:5, pages 346-352.
Crossref
Emre BULUT & Ahmed İhsan ŞİMŞEK. (2023) The Relationship Between the Stock Market Volatility, Liquidity, Exchange Rate Return, and Stock Return During the COVID-19 Period: The case of the BIST 100 IndexCOVİD-19 Döneminde Hisse Senedi Volatilitesi, Likidite, Döviz Kuru Getirisi Ve Hisse Senedi Getirisi Arasindaki İlişki: BİST-100 Örneği. Bingöl Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi 7:1, pages 121-135.
Crossref
Sana Tauseef & Philippe Dupuy. (2022) Pakistan: a study of market's returns and anomalies. Journal of Economics, Finance and Administrative Science 27:54, pages 344-363.
Crossref
Zhi Su, Tongtong Lyu & Libo Yin. (2022) China's illiquidity premium: Due to risk-taking or mispricing?. Pacific-Basin Finance Journal 76, pages 101861.
Crossref
Quratulain Akhtar & Safia Nosheen. (2022) The impact of fintech and banks M&A on Acquirer's performance: A strategic win or loss?. Borsa Istanbul Review 22:6, pages 1195-1208.
Crossref
Szymon Stereńczak. (2022) Illiquidity and stock returns: the moderating role of investors' holding period in Central and Eastern European markets. International Journal of Emerging Markets.
Crossref
Abdullah Al Mahmud, Muhammad Shahin Miah & Mohammad Rakib Uddin Bhuiyan. (2022) Does Trade Credit Financing Affect Firm Performance? Evidence from an Emerging Market. International Journal of Financial Studies 10:4, pages 85.
Crossref
Yuanyuan Xu, Jian Li, Linjie Wang & Chongguang Li. (2022) Liquidity of China’s agricultural futures market: measurement and cross-market dependence. China Agricultural Economic Review 14:2, pages 443-463.
Crossref
Anja Vinzelberg & Benjamin Rainer Auer. (2022) A comparison of minimum variance and maximum Sharpe ratio portfolios for mainstream investors. The Journal of Risk Finance 23:1, pages 55-84.
Crossref
Rapheedah Musneh, Mohd. Rahimie Abdul Karim & Caroline Geetha A/P Arokiadasan Baburaw. (2021) Liquidity risk and stock returns: empirical evidence from industrial products and services sector in Bursa Malaysia. Future Business Journal 7:1.
Crossref
Winston Pontoh & Novi Swandari Budiarso. (2021) The idiosyncratic risk during the Covid-19 pandemic in Indonesia. Investment Management and Financial Innovations 18:4, pages 57-66.
Crossref
Emre Su & Kaya Tokmakcioglu. (2021) A comparison of bid-ask spread proxies and determinants of bond bid-ask spread. Borsa Istanbul Review 21:3, pages 227-238.
Crossref
Nusret Cakici & Adam Zaremba. (2021) Liquidity and the cross-section of international stock returns. Journal of Banking & Finance 127, pages 106123.
Crossref
Oguz Ersan, Serif Aziz Simsir, Koray D. Simsek & Afan Hasan. (2021) The speed of stock price adjustment to corporate announcements: Insights from Turkey. Emerging Markets Review 47, pages 100778.
Crossref
Szymon Stereńczak. (2021) Conditional stock liquidity premium: is Warsaw stock exchange different?. Studies in Economics and Finance 38:1, pages 67-85.
Crossref
Gabriella Cagliesi & Francesco Guidi. (2021) A three-tiered nested analytical approach to financial integration: The case of emerging and frontier equity markets. International Review of Financial Analysis 74, pages 101698.
Crossref
Duc Khuong Nguyen, Ahmet Sensoy, Dinh-Tri Vo & Hans-Jörg von Mettenheim. (2021) Does short-term technical trading exist in the Vietnamese stock market?. Borsa Istanbul Review 21:1, pages 23-35.
Crossref
Nina Ryan, Xinfeng Ruan, Jin E. Zhang & Jing A. Zhang. (2021) Choosing Factors for the Vietnamese Stock Market. Journal of Risk and Financial Management 14:3, pages 96.
Crossref
Xuan Vinh Vo & Thi Tuan Anh Tran. (2020) Higher-order comoments and asset returns: evidence from emerging equity markets. Annals of Operations Research 297:1-2, pages 323-340.
Crossref
Muhammad Ali Nasir, Muhammad Shahbaz, Trinh Thi Mai & Moade Shubita. (2020) Development of Vietnamese stock market: Influence of domestic macroeconomic environment and regional markets. International Journal of Finance & Economics 26:1, pages 1435-1458.
Crossref
THI HIEN NGUYEN & HA GIANG TRAN. (2020) COMPETITION, RISK AND PROFITABILITY IN BANKING SYSTEM — EVIDENCE FROM VIETNAM. The Singapore Economic Review 65:06, pages 1491-1505.
Crossref
Barbara Będowska-Sójka & Krzysztof Echaust. (2020) Do Liquidity Proxies Based on Daily Prices and Quotes Really Measure Liquidity?. Entropy 22:7, pages 783.
Crossref
Muhammad Ali Nasir, Toan Luu Duc Huynh, Quynh Thi Nhu Do, Cuc Thi Nguyen & Quynh Thi Tran. (2020) Implications of Government Borrowing for Corporate Financing in Emerging Economies: A Crowding Out Kuznets Curve. Review of Pacific Basin Financial Markets and Policies 23:02, pages 2050017.
Crossref
Barbara Będowska-Sójka & Krzysztof Echaust. (2020) What is the best proxy for liquidity in the presence of extreme illiquidity?. Emerging Markets Review 43, pages 100695.
Crossref
Szymon Stereńczak. (2020) State-Dependent Stock Liquidity Premium: The Case of the Warsaw Stock Exchange. International Journal of Financial Studies 8:1, pages 13.
Crossref
Szymon Stereńczak, Adam Zaremba & Zaghum Umar. (2020) Is there an illiquidity premium in frontier markets?. Emerging Markets Review 42, pages 100673.
Crossref
Faris Al-Fadhat & Mohammad Raihan Nadhir. (2019) FOREIGN INVESTMENT AND THE POLITICAL ECONOMY OF INDONESIAN CAPITAL MARKET IN 2015-2016. Humanities & Social Sciences Reviews 7:6, pages 340-348.
Crossref
Lai Trung Hoang & Trang Thu Phan. (2019) Is Liquidity Priced in the Vietnamese Stock Market?. Economic Papers: A journal of applied economics and policy 38:3, pages 193-207.
Crossref
XUAN VINH VO. (2019) LARGE SHAREHOLDERS AND INFORMATION ASYMMETRY IN A TRANSITION ECONOMY–EVIDENCE FROM VIETNAM. The Singapore Economic Review, pages 1-17.
Crossref
Barbara Będowska-Sójka & Krzysztof Echaust. (2019) Commonality in Liquidity Indices: The Emerging European Stock Markets. Systems 7:2, pages 24.
Crossref
Linh My Tran, Chi Mai, Phuoc Huu Le, Chi Bui, Linh Nguyen & Toan Huynh. (2019) Monetary Policy, Cash Flow and Corporate Investment: Empirical Evidence from Vietnam. Journal of Risk and Financial Management 12:1, pages 46.
Crossref
JONATHAN BATTEN & XUAN VINH VO. (2019) LIQUIDITY AND FIRM VALUE IN AN EMERGING MARKET. The Singapore Economic Review 64:02, pages 365-376.
Crossref
Hue Nguyen Thi Minh & Huyen Do Phuong. (2019) Exchange-Traded Funds (ETFs) and Stock Liquidity: Vietnamese Evidence. Journal of Economics and Development, pages 35-50.
Crossref
Justyna Zalewska & Natalia Nehrebecka. (2019) Liquidity and solvency of a company and the rate of return – an analysis of the Warsaw Stock Exchange. Central European Economic Journal 6:53, pages 199-220.
Crossref
Xuan Vinh Vo & Craig Ellis. (2018) International financial integration: Stock return linkages and volatility transmission between Vietnam and advanced countries. Emerging Markets Review 36, pages 19-27.
Crossref
Joseph J. French & Rodrigo Taborda. (2018) Disentangling the relationship between liquidity and returns in Latin America. Global Finance Journal 36, pages 23-40.
Crossref
Xuan Vinh Vo. (2017) Do foreign investors improve stock price informativeness in emerging equity markets? Evidence from Vietnam. Research in International Business and Finance 42, pages 986-991.
Crossref
Xuan Vinh Vo. (2017) Determinants of capital structure in emerging markets: Evidence from Vietnam. Research in International Business and Finance 40, pages 105-113.
Crossref
Ailie Heather Charteris & Barry Strydom. (2016) Capital market openness and volatility: an investigation of five Sub-Saharan treasury bill rates. International Journal of Emerging Markets 11:3, pages 438-459.
Crossref
Xuan Vinh Vo. (2016) Does institutional ownership increase stock return volatility? Evidence from Vietnam. International Review of Financial Analysis 45, pages 54-61.
Crossref
Jonathan A. Batten & Xuan Vinh Vo. (2015) Foreign ownership in emerging stock markets. Journal of Multinational Financial Management 32-33, pages 15-24.
Crossref
Štefan Lyócsa & Eduard Baumöhl. (2015) Similarity of emerging market returns under changing market conditions: Markets in the ASEAN-4, Latin America, Middle East, and BRICs. Economic Systems 39:2, pages 253-268.
Crossref
Lai Hoang. (2018) Is Liquidity Priced in the Vietnamese Stock Market. SSRN Electronic Journal.
Crossref
Joseph J. French. (2017) Disentangling the Relationship between Liquidity and Returns in Latin America. SSRN Electronic Journal.
Crossref
VV Xuun Vinh & Craig Ellis. (2012) International Financial Integration: Stock Return Linkage and Volatility Transmission between Vietnam and Other Advanced Countries.. SSRN Electronic Journal.
Crossref
Jonathan A. Batten & VV Xuun Vinh. (2013) Determinants of Bank Profitability Evidence from Vietnam. SSRN Electronic Journal.
Crossref

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Order Reprints Request Corporate Permissions

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

Request Academic Permissions

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.

Related research

People also read lists articles that other readers of this article have read.

Recommended articles lists articles that we recommend and is powered by our AI driven recommendation engine.

Cited by lists all citing articles based on Crossref citations.
Articles with the Crossref icon will open in a new tab.