Η επίδραση της εμπορευσιμότητας στις μετοχικές αποδόσεις

Παρασκευάς, Χρήστος Μ.

Master Thesis

Author

Παρασκευάς, Χρήστος Μ.

Date

2014-06-17

Abstract

The essay examines the impact of liquidity change between 2001 and 1012 on stock returns within 3 different stock markets: The Greek, the German and the Spanish. Due to the multidimensional nature of liquidity, we have used 4 liquidity measures in order to cover its several aspects. We concluded that stock liquidity in a cross-sectional context as well as marketwise, changes dramatically over time. The 3 stock markets undergo a constant augmentation of illiquidity since 2007 (the beginning of economic recession), proving that market liquidity is influenced by major macroeconomic events. We came to the conclusion that first-order autocorrelation of the monthly liquidity change is strongly negative, while the following autocorrelations decrease dramatically. This is in accordance to the mean-reverting nature of liquidity. A dramatic liquidity decrease of a previous month is often followed by a dramatic liquidity increase of the current month, vice versa. This pattern does not apply on the market liquidity variation. We found that as far as the Greek and the German markets are concerned, the previous month liquidity change influences the cross-section stock returns of the current month. When everything else is stable, a liquidity decrease predicts low returns, while liquidity increase predicts high returns, providing support for the liquidity change hypothesis, something that does not apply for Spain. The phenomenon is stronger when minor shares are concerned, while the phenomenon of January was not detected. On a stock market level, the liquidity change hypothesis cannot be supported. Our research proves that liquidity change is an important factor in cross-sectional stock pricing, with its effect being independent from the widely accepted effect of liquidity level.