Dimensions of Stock market liquidity: Empirical evidence of a frontier market

Abstract

 The paper presents a discussion of stock market liquidity in a frontier market after the financial crisis. The paper defines dimensions of stock market liquidity and indicates possible liquidity measures which could be applied to analyze liquidity on a stock exchange in Vietnam. The empirical result shows the aggregate liquidity, which captures various dimensions of liquidity through eight liquidity measures based on a daily basis during the period from 2011 to 2018. The analysis indicates the characteristics of liquidity in the Vietnamese stock market, the differences in liquidity among three market capitalization groups: small, medium, and large. It is evident that there are differences in three size companies, larger companies are found to have better liquidity.