Source of Publication
Emerging Markets Review
© 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.
Asset pricing, Frontier stock markets, Illiquidity premium, Liquidity, The cross-section of returns
Creative Commons License
This work is licensed under a Creative Commons Attribution 4.0 License.
Stereńczak, Szymon; Zaremba, Adam; and Umar, Zaghum, "Is there an illiquidity premium in frontier markets?" (2020). All Works. 2166.
Indexed in Scopus
Open Access Type
Hybrid: This publication is openly available in a subscription-based journal/series