Sethy, Tapas Kumar; Tripathy, Nalini Prava - In: China Accounting and Finance Review 26 (2024) 2, pp. 253-275
Purpose - This study aims to explore the impact of systematic liquidity risk on the averaged cross-sectional equity return of the Indian equity market. It also examines the effects of illiquidity and decomposed illiquidity on the conditional volatility of the equity market....