Liquidity and expected stock returns listed on Vietnamese stock market

Abstract

This research evaluates the impacts of liquidity and risk of liquidity to stock returns which were listed in Vietnamese stock market. According to this research, liquidity ratio is the portion between number of share traded and number of share outstanding (this called Liq1) as same as Amihud and Mendelson's research (1986), Datar-Naik and Radcliffe's research (1998), and Wang and Iorio's research (2007). Moreover, the author also uses two alternative approaches to evaluate liquidity, such as following: the liquidity of a share is the portion between average of number of share traded in a month and average of total number of shares traded of the market in the month (this called Liq2) and the portion between the average of traded value in a month and market capitalization of share (this called Liq3). Contrary to previous researches, this research shows that correlations between indicators Liq1 and Liq3 and stock returns are positively correlations while indicator Liq2 is not relationship with rate of return. And the correlation between Beta coefficient and rate of return is weak.