Abstract
The current study examines flight to liquidity risk and asset pricing in
an emerging market of Pakistan Stock exchange during 2005-2015. As
liquidity is a multidimensional phenomenon, the difficulty to
incarcerate its various traits has made this topic interesting and
challenging for doing research. Multiple measures of liquidity have
been used in the study. Innovations in illiquidity are transformed
through autoregressive process. The findings of the study strongly
support the evidence of pricing of flight to liquidity risk in stock market
of Pakistan.
Sadia Saeed, Arshad Hassan. (2017) Flight to Liquidity Risk, Multiple Liquidity Measures and Equity Returns: Evidence from Pakistan Stock Exchange , Journal of Managerial Sciences, Volume 11, Issue 4.
-
Views
509 -
Downloads
46
