On the Relationships Among Expected Return, Volume, Holding Period, and Bid-Ask Spread in Indonesia Stock Market
The relationships among expected return and various liquidity measures are first examined theoretically in this paper. Under constant holding period, it is shown that the expected return is proportional to the bid-ask spread. Under constant expected return, the holding period is proportional to the bid-ask spread and the volume is inversely proportional to the bid-ask spread. Under constant bid-ask spread, the expected return is inversely proportional to the holding period and is also proportional to the volume. Based on five years data from Indonesia Stock Market, the previous relationships are examined empirically.
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Document Type: Research Article
Publication date: April 1, 2015
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