Is there an illiquidity premium in frontier markets?

Collection:
Mokslo publikacijos / Scientific publications
Document Type:
Žurnalų straipsniai / Journal articles
Language:
Anglų kalba / English
Title:
Is there an illiquidity premium in frontier markets?
Authors:
In the Journal:
Emerging markets review, 2020, 42, 1-19 (100673)
Subject Category:
LT
Darbo apmokėjimas / Remuneration of work; Finansai. Kapitalas / Finance. Capital; Pinigai. Valiuta / Money. Currency.
Summary / Abstract:

ENWe perform a comprehensive examination of the role of stock-level liquidity in the cross-section of frontier market stock returns. Using several popular liquidity measures and a battery of asset pricing tests, we investigate the illiquidity premium in 22 countries for the years 1991–2019. Contrary to typical relationships in developed and emerging markets, we find no evidence of illiquidity premium in frontier equities. Our findings support the hypothesis that for countries not fully integrated with the global economy, the diversification benefits offset the illiquidity, which, in turn, proves less important.

DOI:
10.1016/j.ememar.2019.100673
ISSN:
1566-0141
Subject:
Ekonomika / Economics
Permalink:
https://www.lituanistika.lt/content/89191
Updated:
2026-02-25 13:40:43
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