Does time-varying illiquidity matter for the Indian stock market? Evidence from high-frequency data. Issue 2 (May 2022)

• Record Type: Journal Article
• Authors: Bhattacharya, Mousumi; Bhattacharya, Sharad Nath; Jha, Sumit Kumar
• Is Part Of: Australian journal of management. Volume 47:Issue 2(2022)
• Page Start: 251
• Page End: 272
• Publication Date: 2022-05
• Subjects: Asset pricing -- illiquidity -- liquidity -- quantile regression -- seasonality -- stock market; Management -- Periodicals; Management -- Australia -- Periodicals; Business enterprises -- Finance -- Periodicals; Industrial management -- Australia -- Periodicals; 330
• DOI: 10.1177/03128962211010243
• Languages: English
• ISSNs: 0312-8962

Abstract

This article examines variations in illiquidity in the Indian stock market, using intraday data. Panel regression reveals prevalent day-of-the-week, month, and holiday effects in illiquidity across industries, especially during exogenous shock periods. Illiquidity fluctuations are higher during the second and third quarters. The ranking of most illiquid stocks varies, depending on whether illiquidity is measured using an adjusted or unadjusted Amihud measure. Using pooled quantile regression, we note that illiquidity plays an important asymmetric role in explaining stock returns under up- and down-market conditions in the presence of open interest and volatility. The impact of illiquidity is more severe during periods of extreme high and low returns. JEL Classification:G10, G12