In the spirit of Merton (1973), we assert that temporary aggregate market illiquidity is compensated for in the form of higher conditional market returns. In order to test this hypothesis, we use two available liquidity proxies, namely versions of the Amihud illiquidity measure and a measure...

This study examines the co-movement phenomenon in Taiwan's stock markets. We investigate this phenomenon both before and after the inclusion and exclusion of component stocks from the Taiwan 50 or Taiwan 100 indices in terms of changes in component stock returns and turnover co-movement...