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Article
Is there an illiquidity premium in frontier markets?
Emerging Markets Review
Document Type
Article
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
Publisher
Elsevier B.V.
Disciplines
Keywords
- Asset pricing,
- Frontier stock markets,
- Illiquidity premium,
- Liquidity,
- The cross-section of returns
Scopus ID
Creative Commons License
Creative Commons Attribution 4.0 International
Indexed in Scopus
Yes
Open Access
Yes
Open Access Type
Hybrid: This publication is openly available in a subscription-based journal/series
Citation Information
Szymon Stereńczak, Adam Zaremba and Zaghum Umar. "Is there an illiquidity premium in frontier markets?" Emerging Markets Review Vol. 42 (2020) p. 100673 ISSN: <p><a href="https://v2.sherpa.ac.uk/id/publication/issn/1566-0141" target="_blank">1566-0141</a></p> Available at: http://works.bepress.com/zaghum-umar/28/