Saeed, Sadia; Hassan, Arshad - In: Pakistan Journal of Commerce and Social Sciences (PJCSS) 12 (2018) 2, pp. 617-637
This study examines long term and short term inter-linkage between liquidity dimensions and equity returns in oil and gas sector of an emerging stock market for the time period 2009-2015.Conventional liquidity ratio and Amihud ratio are used to capture Price impact. Roll estimator is employed to...