Title
Is there an illiquidity premium in frontier markets?
Source of Publication
Emerging Markets Review
Abstract
© 2019 The Authors We 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.
Document Type
Article
Publication Date
3-1-2020
DOI
10.1016/j.ememar.2019.100673
Recommended Citation
Stereńczak, Szymon; Zaremba, Adam; and Umar, Zaghum, "Is there an illiquidity premium in frontier markets?" (2020). Scopus Indexed Articles. 260.
https://zuscholars.zu.ac.ae/scopus-indexed-articles/260