This study investigates the impact of liquidity risk on stock returns of 149 firms in the
industrial products and services sectors of Bursa Malaysia from January 2000 to December …

Purpose This study aims to organise and present the development of asset pricing models in
the international environment. The stock market integration and cross-listing lead us to …

Purpose This study aims to explore the impact of systematic liquidity risk on the averaged
cross-sectional equity return of the Indian equity market. It also examines the effects of …

We show that a monthly-rebalanced, long-only portfolio of top-decile stocks selected from
the NIFTY100 usingoff-the-shelf'momentum criteria significantly outperforms the NIFTY100 …

In this research article, we present a liquidity premium based asset pricing model and test it
in the Indian stock market. Using high-frequency data of stocks listed in the National Stock …

This research looks at the interplay between financial development, exchange rates, and the
stock market in Bangladesh from 1995 to 2019 and employs the Nonlinear Autoregressive …

Research aims: Illiquidity risk is one of the complex issues that institutional investors and
market participants continually face over time. It is because the constructs of illiquidity risk …

This article examines variations in illiquidity in the Indian stock market, using intraday data.
Panel regression reveals prevalent day-of-the-week, month, and holiday effects in illiquidity …

Abstrak Tujuan Penelitian: Penelitian ini mengevaluasi efisiensi pasar dengan
menggunakan Capital Asset Pricing Model (CAPM) pada saham Badan Usaha Milik Negara …

Research and market analysts have been following the liquidity and volatility risk
microstructures of stock markets with interest. Both types of risks have a significant impact on …