Stock liquidity and return distribution: Evidence from the London Stock Exchange
Sign Up to like & getrecommendations! Published in 2020 at "Finance Research Letters"
DOI: 10.1016/j.frl.2020.101539
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… read more here.
Keywords: london stock; liquidity; stock exchange; stock ... See more keywords
Liquidity skewness in the London Stock Exchange
Sign Up to like & getrecommendations! Published in 2018 at "International Review of Financial Analysis"
DOI: 10.1016/j.irfa.2017.12.006
Abstract: Abstract We study liquidity on the London Stock Exchange. We find that the average bid-ask spread declines, but that the skewness of the spread increases. These results are robust to firm size, trading volume and… read more here.
Keywords: london stock; liquidity; liquidity skewness; stock exchange ... See more keywords