An Empirical Investigation of Liquidity and Stock Returns Relationship in Vietnam Stock Markets during Financial Crisis

Abstract

This paper investigates the relationship between liquidity and stock returns in the Vietnam stock market during financial crisis using a data set ranging from 2006 to 2010. Employing a rich and detailed dataset of characteristics of firm listed in Ho Chi Minh City Stock Exchange, the results from the analysis indicate that liquidity positively affects stock returns. Our results contradict previous results that liquidity is negatively correlated with stock returns as investors required a premium to compensate for illiquid stocks in developed market