Market Volatility and Corporate Investment on Stock Liquidity in Emerging Market

  • Wina Annisafitri Purnama
  • Zaafri Ananto Husodo

Abstract

This study aims to determine the effect of corporate investment and market volatility on stock liquidity in the Emerging Market in 2011-2020. The sample consists of six emerging market countries based on the MSCI emerging market index classification. This study uses data from common stocks using a purposive sampling technique selected based on the classification of Griffin et al. (2010) and Baker, Stein, & Wurgler (2003). The data used is secondary data taken annually, obtained from the Thomson Reuters / Refinitiv datastream site, and processed using EGLS panel data regression. This study uses dummy variables to view data before and during the pandemic through historical data. The results show that there is a significant positive effect on corporate investment on stock liquidity. The result also showed a significant negative effect on market volatility on stock liquidity in the six sample countries of emerging markets. Partial testing shows the same results in most countries. However, in some countries, corporate investment and market volatility do not affect stock liquidity. There are findings that overall data in each country showed better results before the COVID-19 pandemic in 2011-2019 but in Korea showed better results in the 2020 Covid pandemic period.

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Published
2021-09-01
How to Cite
PURNAMA, Wina Annisafitri; HUSODO, Zaafri Ananto. Market Volatility and Corporate Investment on Stock Liquidity in Emerging Market. Asian Journal of Research in Business and Management, [S.l.], v. 3, n. 3, p. 115-130, sep. 2021. Available at: <https://myjms.mohe.gov.my/index.php/ajrbm/article/view/15112>. Date accessed: 24 oct. 2021.
Section
Articles