Liquidity and return relationships in an emerging market

Jonathan Andrew Batten, Xuan Vo

    Research output: Contribution to journalArticleResearchpeer-review

    39 Citations (Scopus)


    In this paper, we investigate the relationship between liquidity and stock returns in the Vietnam stock market during the global financial crisis. Vietnam is one of a new group of frontier emerging markets referred to as CIVETS (Colombia, Indonesia, Vietnam, Egypt, Turkey, and South Africa). We use a rich and detailed data set of firm characteristics to identify a positive relationship between liquidity and stock returns. This contradicts the negative correlation typically found in stock returns in developed markets. Our results support the proposition that when a market is not fully integrated with the global economy, a lack of liquidity will be a less important risk factor. Our findings contribute to those studies that highlight the diversification benefits from including frontier markets, which have a lower degree of integration with the global economy, in international portfolios.
    Original languageEnglish
    Pages (from-to)5 - 21
    Number of pages17
    JournalEmerging Markets Finance and Trade
    Issue number1
    Publication statusPublished - 2014

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