{"id":528,"date":"2026-10-06T08:06:38","date_gmt":"2026-10-06T08:06:38","guid":{"rendered":"https:\/\/www.journals.utgjiu.ro\/JES\/?post_type=articol&#038;p=528"},"modified":"2026-10-06T08:12:59","modified_gmt":"2026-10-06T08:12:59","slug":"the-effect-of-the-asian-financial-crisis-on-market-liquidity-and-stock-returns-evidence-from-an-emerging-market-2","status":"publish","type":"articol","link":"https:\/\/www.journals.utgjiu.ro\/JES\/articol\/the-effect-of-the-asian-financial-crisis-on-market-liquidity-and-stock-returns-evidence-from-an-emerging-market-2\/","title":{"rendered":"The Effect of the Asian Financial Crisis on Market Liquidity and Stock Returns: Evidence from an Emerging Market"},"content":{"rendered":"<p>This study investigates the impact of market liquidity on stock returns in Malaysia during the 1997 Asian Financial Crisis. We employ two metrics of market liquidity: the turnover ratio and the turnover-volatility ratio. Upon adjusting for beta, size, book-to-market ratio, and momentum, we find that both market liquidity indicators positively and significantly elucidate stock returns in Malaysia during that period. Utilizing the bid-ask spread as our liquidity measure, rather than the turnover ratio or the turnover-volatility ratio, yields similar results i.e., market liquidity has a positive and significant impact on stock returns in Malaysia. The Asian Financial Crisis also did not significantly alter the effect of liquidity on stock returns in Malaysia. In other words, market liquidity exerted a positive and significant impact on returns both before and after the crisis. These findings affirm that market liquidity plays an important role for stock returns. Even a significant financial catastrophe, such as the Asian crisis, did not affect the positive relationship between market liquidity and returns.<\/p>\n","protected":false},"featured_media":0,"template":"","meta":{"site-sidebar-layout":"default","site-content-layout":"","ast-site-content-layout":"default","site-content-style":"default","site-sidebar-style":"default","ast-global-header-display":"","ast-banner-title-visibility":"","ast-main-header-display":"","ast-hfb-above-header-display":"","ast-hfb-below-header-display":"","ast-hfb-mobile-header-display":"","site-post-title":"","ast-breadcrumbs-content":"","ast-featured-img":"","footer-sml-layout":"","ast-disable-related-posts":"","theme-transparent-header-meta":"","adv-header-id-meta":"","stick-header-meta":"","header-above-stick-meta":"","header-main-stick-meta":"","header-below-stick-meta":"","astra-migrate-meta-layouts":"default","ast-page-background-enabled":"default","ast-page-background-meta":{"desktop":{"background-color":"var(--ast-global-color-5)","background-image":"","background-repeat":"repeat","background-position":"center center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-opacity":"","overlay-gradient":""},"tablet":{"background-color":"","background-image":"","background-repeat":"repeat","background-position":"center center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-opacity":"","overlay-gradient":""},"mobile":{"background-color":"","background-image":"","background-repeat":"repeat","background-position":"center center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-opacity":"","overlay-gradient":""}},"ast-content-background-meta":{"desktop":{"background-color":"var(--ast-global-color-4)","background-image":"","background-repeat":"repeat","background-position":"center center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-opacity":"","overlay-gradient":""},"tablet":{"background-color":"var(--ast-global-color-4)","background-image":"","background-repeat":"repeat","background-position":"center center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-opacity":"","overlay-gradient":""},"mobile":{"background-color":"var(--ast-global-color-4)","background-image":"","background-repeat":"repeat","background-position":"center center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-opacity":"","overlay-gradient":""}}},"class_list":["post-528","articol","type-articol","status-publish","hentry"],"_links":{"self":[{"href":"https:\/\/www.journals.utgjiu.ro\/JES\/wp-json\/wp\/v2\/articol\/528","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/www.journals.utgjiu.ro\/JES\/wp-json\/wp\/v2\/articol"}],"about":[{"href":"https:\/\/www.journals.utgjiu.ro\/JES\/wp-json\/wp\/v2\/types\/articol"}],"wp:attachment":[{"href":"https:\/\/www.journals.utgjiu.ro\/JES\/wp-json\/wp\/v2\/media?parent=528"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}