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Datar, V.T., Naik, N.Y. and Radcliffe, R. (1998) Liquidity and Stock Returns: An Alternative Test. Journal of Financial Markets, 1, 203-219.
https://doi.org/10.1016/S1386-4181(97)00004-9

has been cited by the following article:

• TITLE: Turnover Based Illiquidity Measurement as Investment Strategy on Zagreb Stock Exchange

  AUTHORS: Jelena Vidović

  KEYWORDS: Illiquidity Measure, Investment, Portfolio, Stock, Turnover

  JOURNAL NAME: American Journal of Operations Research, Vol.10 No.1, December 6, 2019

  ABSTRACT: This paper deals with illiquidity measurement of stocks on Croatian Stock market. Illiquidity measures used in this paper are daily ratio of absolute stock return to its dollar volume (ILLIQ) and RCT (Relative change in turnover). Aim of this paper is to show that illiquidity measure RCT makes clear distinction between liquid and illiquid stocks that should be reflected through investment strategy where investment in RCT based illiquid portfolios outperforms investment in ILLIQ based portfolios and CROBEX index. Research was carried out on eighteen stocks from Zagreb Stock Exchange (ZSE) which are constituents of CROBEX index. Portfolios of liquid and portfolios of illiquid stocks based on results of illiquidity measurement were constructed. Behaviour in terms of return and volatility of these portfolios in following one-year period was observed. Results showed that portfolios formed using RCT as measure of illiquidity constantly outperformed CROBEX index and ILLIQ based portfolios. Returns of RCT based portfolios had lower standard deviation and were more stable than ILLIQ based portfolios in whole period. RCT as a measure of illiquidity produces valuable information on stock liquidity that can be exploited as investment strategy reflecting itself in larger expected returns of RCT portfolios in future period than expected returns of ILLIQ based portfolios and market.