In this study, we examine the effect of liquidity on return in the stock market of Turkey using data of 265 companies for the period 2/01/2002 through 2/02/2017. We use Corwin-Schultz bid-ask spread estimator, high – low ratio and Amihud illiquidity measure as liquidity variables. We run panel data least squares on a simple CAPM model which has a liquidity variable and where the risk-free interest rate is zero. We find that illiquidity has negative effect on both daily and monthly returns. We also examine this effect in four size groups. We find that negative effect persists in subsamples except for Amihud illiquidity measure which has non-significant and positive coefficients for larger companies. According to our findings, negative effect is stronger for smaller companies. Our results are in contrast with many studies which support liquidity premium in developed markets. This suggests further analysis on emerging markets like Turkey.
ın this study we examined the effect of liquidity on return in the stock market of turkey using data of 265 companies for the period 2047010472002 thrugh 2047020472017 we use corwinschultz bidask spread estimator high – low rate and ampihud illiquidity positive measure as liquidity variables we run panel data in squares on a simple capm resulting model which has a liquidity variable and where the risk interestfree rate is zero we find that illiquidity has negative effect on both daily and monthly masses we will also testify the negative effects of these negative impacts according to the results in the negative effects of the support of the negative impact of the negative impact of the negative impact of the users
Alan : Sosyal, Beşeri ve İdari Bilimler
Dergi Türü : Uluslararası
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