English Abstract: This paper aims to determine the relationship between stock returns and volatility of liquidity in … volatility of liquidity. Results also show that while stock size and Amihud illiquidity criteria sort the stocks in the same way …

the implementation of the methodology which is based on the cross sectional volatility of the stock returns. On the other … hand, the results show that the relation between cross sectional volatility and extreme high or low returns is nonlinear …, industiral and investment trusts sectors. Another methodology which is based on the cross sectional volatility of beta …