New evidence on the relation between stock liquidity and measures of trading activity

Chai, Daniel, Faff, Robert and Gharghori, Philip (2010) New evidence on the relation between stock liquidity and measures of trading activity. International Review of Financial Analysis, 19 3: 181-192. doi:10.1016/j.irfa.2010.02.005


Author Chai, Daniel
Faff, Robert
Gharghori, Philip
Title New evidence on the relation between stock liquidity and measures of trading activity
Journal name International Review of Financial Analysis   Check publisher's open access policy
ISSN 1057-5219
1873-8079
Publication date 2010-06
Sub-type Article (original research)
DOI 10.1016/j.irfa.2010.02.005
Volume 19
Issue 3
Start page 181
End page 192
Total pages 12
Editor Jonathan A. Batten
Lance Nail
Place of publication Amsterdam, Netherlands
Publisher Elsevier
Collection year 2011
Language eng
Subject C1
150201 Finance
900101 Finance Services
Abstract The goal of this paper is to examine two empirical issues regarding stock liquidity: (1) to what degree are different liquidity proxies correlated? and (2) how are different liquidity proxies related to stocks' trading characteristics? Answers to these questions will help us better understand whether there are common sources of liquidity. This has considerable implications for studying stock liquidity, since selecting an appropriate proxy for liquidity is an important issue in empirical research design. Using data from the Australian equity market, our results confirm prior research that stocks' trading characteristics are important determinants of liquidity. Though the relationships are generally consistent with expectations, some proxies do react differently to certain trading characteristics. This finding is consistent with the contention that liquidity is a multifaceted concept and each alternative proxy may only capture a certain aspect of liquidity. © 2010 Elsevier Inc. All rights reserved.
Keyword Stock liquidity
Trading characteristics
Australian evidence
Q-Index Code C1
Q-Index Status Confirmed Code
Institutional Status UQ

Document type: Journal Article
Sub-type: Article (original research)
Collections: Faculty of Business, Economics and Law -- Publications
Official 2011 Collection
UQ Business School Publications
 
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Created: Wed, 09 Jun 2010, 08:20:17 EST by Karen Morgan on behalf of UQ Business School