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Liquidity Impact on JSE Stock Returns by Tshegofatso Letlape is a document available to read on EtoBox.

This study investigates the relationship between stock liquidity and excess returns on the Johannesburg Stock Exchange (JSE) using a time-series regression approach. The findings reveal that liquidity significantly influences stock returns, with illiquid stocks associated with higher expected returns, contradicting traditional finance theories that assume frictionless markets. The research emphasizes the need to incorporate liquidity into asset pricing models, particularly in emerging markets like South Afr

Author

Tshegofatso Letlape

Language

EN