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We investigate the relationship between liquidity and the distribution of returns, for all listed firms on the London Stock Exchange between 2002-2018. We find a strong relationship between the distribution… Click to show full abstract
We investigate the relationship between liquidity and the distribution of returns, for all listed firms on the London Stock Exchange between 2002-2018. We find a strong relationship between the distribution of returns, as measured by skewness and kurtosis, and liquidity.
Keywords:
london stock;
liquidity;
stock exchange;
stock;
distribution
Journal Title: Finance Research Letters
Year Published: 2020
Link to full text (if available)
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Journal Title: Finance Research Letters
Year Published: 2020
Link to full text (if available)
Share on Social Media: Sign Up to like & get
recommendations!