Is there an illiquidity premium in frontier markets?

Author First name, Last name, Institution

Szymon Stereńczak, Poznań University of Economics and Business
Adam Zaremba, Poznań University of Economics and Business
Zaghum Umar, Zayed UniversityFollow

Document Type

Article

Source of Publication

Emerging Markets Review

Publication Date

3-1-2020

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.

DOI Link

10.1016/j.ememar.2019.100673

ISSN

1566-0141

Publisher

Elsevier B.V.

Volume

42

First Page

100673

Disciplines

Business

Keywords

Asset pricing, Frontier stock markets, Illiquidity premium, Liquidity, The cross-section of returns

Scopus ID

85077156190

Creative Commons License

This work is licensed under a Creative Commons Attribution 4.0 International License.

Recommended Citation

Stereńczak, Szymon; Zaremba, Adam; and Umar, Zaghum, "Is there an illiquidity premium in frontier markets?" (2020). All Works. 2166.
https://zuscholars.zu.ac.ae/works/2166

Indexed in Scopus

yes

Open Access

yes

Open Access Type

Hybrid: This publication is openly available in a subscription-based journal/series