How to cite this paper
Umoru, D., Igbinovia, B., Muhammed, E & Ali, R. (2025). Volatility dynamics of stock returns, liquidity and exchange rates in ASEAN Countries.Accounting, 11(1), 49-70.
Refrences
Aawaar, G., Logogye, L., & Domeher, D. (2023). Equity return volatility in Africa’s stock markets: A dynamic panel approach. Cogent Economics & Finance. 11. 10.1080/23322039.2023.2258704.
Ali, A., Rahman, H.U., Arian, A., Sands, J. (2023). Flight-to-liquidity and excess stock return: empirical evidence from a dynamic panel model. J. Risk Financial Management, 16, 515. https://doi.org/10.3390/jrfm16120515.
Almeida, H. (2021). Liquidity management during the Covid‐19 pandemic. Asia‐Pacific Journal of Financial Studies, 50(1), 7-24.
Apergis, N., &Vouzavlis, C. (2001). Price volatility and financial instability in emerging markets. IMF Working Paper, WP/01/060.
Ayesha, J., Muhammad, Y., Yasmeen, A., Sadaf, Y., Jihoon, M., Seungmin, R. (2022). An empirical study of macroeconomic factors and stock returns in the context of economic uncertainty news sentiment using machine learning. https://doi.org/10.1155/2022/4646733
Bakala, T. (2024). The validity of Keynes’ preference for liquidity principle in the endogenous money supply thesis among post-keynesians. iBusiness, 16, 1-23. doi: 10.4236/ib.2024.161001.
Bakar, N. A., & Rosbi, S. (2019). Robust statistical portfolio investment in modern portfolio theory: a case study of two stocks combination in Kuala Lumpur Stock Exchange. International Journal of Engineering and Advanced Technology (IJEAT), 8.
Bhattacharya, S. N., Bhattacharya, M., Basu, S., & Elgammal, M. M. (2019). Stock market and its liquidity: Evidence from ARDL bound testing approach in the Indian context. Cogent Economics & Finance, 7(1). https://doi.org/10.1080/23322039.2019.1586297.
Chikwira, C., & Mohammed, J. I. (2023). The impact of the stock market on liquidity and economic growth: Evidence of volatile market. Economies , 11, 155. https://doi.org/10.3390/economies11060155.
Culham, J. (2020). Revisiting the concept of liquidity in liquidity preference. Cambridge Journal of Economics, 44(3), 491–505, https://doi.org/10.1093/cje/bez057
Defrizal, D., Romli, K., Purnomo, A., & Subing, H. A. (2021). A sectoral stock investment strategy model in Indonesia stock exchange. The Journal of Asian Finance, Economics, and Business, 8(1), 15-22.
Deng, H. (2024). Is Asia on the precipice of a currency crisis? Exploring regional risks and implications on the global economy. Independent Study Project (ISP) Collection. 3764. https://digitalcollections.sit.edu/isp_collection/3764.
Díaz, A., & Escribano, A. (2022). Liquidity dimensions in the US corporate bond markets. International Review of Economics & Finance 80: 1163–79.
Dimitris, C., Dimitris, G., Tullio, J., Geoff, K.(2024). Wealth shocks and portfolio choice. Journal of Monetary Economics, 103632, https://doi.org/10.1016/j.jmoneco.2024.103632.
Doojin, R., Robert, I. W., Jinyoung, Y. (2024). Stock price synchronicity and market liquidity: The role of funding liquidity. Finance Research Letters, 61. https://doi.org/10.1016/j.frl.2024.105051.
Effiong, S., & Ejabu, F. (2020). Liquidity risk management and financial performance: are consumer goods companies involved?. International Journal of Civil Engineering and Technology. 9. 2277-3878. 10.35940/ijrte.A1692.059120.
Fakhroni, Z., Ghozali, I., Harto, P., & Yuyetta, E. N. A. (2018). Free cash flow, investment inefficiency, and earnings management: evidence from manufacturing firms listed on the Indonesia Stock Exchange. Investment Management and Financial Innovations, 15, (1), 299-310.
Fama, E. F. (1995). Random walks in stock market prices. Financial Analysts Journal 51(1), 75-80, https://doi.org/10.2469/faj.v51.n1.1861.
Fama, E. F., & Kenneth R. F. (1989). Business conditions and expected returns on stocks and bonds. Journal of Financial Economics 25, 23-49.
Fama, E. F., & Kenneth R. F. (1992). The cross-section of expected stock returns. The Journal of Finance 47, 427-65.
Gholami, A., Sands, J., & Syed, S. (2023). Corporates’ sustainability disclosures impact on cost of capital and idiosyncratic risk. Meditari Accountancy Research 31: 861-86.
Hacini, I., Boulenfad, A., & Dahou. (2021). The impact of liquidity risk management on the financial performance of Saudi Arabian Banks. EMAJ: Emerging Markets Journal. 11. 67-75. 10.5195/emaj.2021.221.
Hiya, N., & Syafi’i, M. (2021). Contribution of investment efficiency in the relationship of free cash flow and firm value at Indonesia stock exchange. Humanities and Social Sciences, 4(4), 11116-11126.
Jian, H., Peng, L., Schwartz, R. A., & Alan, N. S. (202)). Resiliency and stock returns. The Review of Financial Studies, 33(2), 747–782, https://doi.org/10.1093/rfs/hhz048
Jossa, B. (2021). Liquidity preference theory or loanable funds theory. Archives of Business Research, 9(8), 87–91. https://doi.org/10.14738/abr.98.10544
Komba, C., Sobe, P. A. & Mwakujonga, J. (2024). Effects of interest and exchange rate volatility on stock returns: evidence from the financial sector of Tanzania. NG-Journal of Social Development, 13(1), 215-225. https://dx.doi.org/10.4314/ngjsd.v13i1.16
Kontuš, E., & Mihanović, D. (2019). Management of liquidity and liquid assets in small and medium-sized enterprises. Economic research-Ekonomska istraživanja, 32(1), 3247-3265.
Li, S., Teng, Z., & Yingxiang, L. (2019). Flight-to-liquidity: Evidence from China’s stock market. Emerging Markets Review 38: 159-81.
Li, Z., Wei, S. Y., Chunyan, L., N. Aldoseri, M. M., Qadus, A., & Hishan, S. S. (2021). The impact of CSR and green investment on stock return of Chinese export industry. Economic Research-Ekonomska Istraživanja, 1-17.
Malkiel, B. G. (2020). A Random Walk down Wall Street: The Time-Tested Strategy for Successful Investing (New York, NY: W.W. Norton & Company, 2020).
Marozva, G. (2019). Liquidity and stock returns: new evidence from Johannesburg stock exchange. The Journal of Developing Areas, 53(2), 79-90. https://www.jstor.org/stable/26501907
Masahiro, Y., Takatoshi, I. (2022). Price discovery and liquidity recovery: Forex market reactions to macro announcements. Journal of International Money and Finance, 120, 102502, https://doi.org/10.1016/j.jimonfin.2021.102502.
Mettle, F. O., Aidoo, E. K., Dowuona, C. O. N., & Agyekum, L. (2024). Analysis of investment returns as Markov chain random walk. International Journal of Mathematics and Mathematical Sciences. https://doi.org/10.1155/2024/3966566
Mexmonov, S. (2020). World experience of stock exchange operations. Архив научных исследований, 33(1).
Mondher, B. & Martinez, I. (2019). Efficient market hypothesis: an experimental study with uncertainty and asymmetric information. Revue Finance Contrôle Stratégie, 22(4), 27-51, December.
Murebu, W. K., Kuria, A., & Kariuki, B. (2024). Liquidity management practices and performance of horticultural firms in Laikipia County, Kenya. The Strategic Journal of Business & Change Management, 11 (3), 249 – 260. http://dx.doi.org/10.61426/sjbcm.v11i3.3019
Musneh, R., Abdul K. M.R., & Arokiadasan, B.C.G.A. (2021). Liquidity risk and stock returns: empirical evidence from industrial products and services sector in Bursa Malaysia. Futur Bus J 7, 60. https://doi.org/10.1186/s43093-021-00106-4
Muzaffar, Z, & Malik, I. R. (2024). Market liquidity and volatility: Does economic policy uncertainty matter? Evidence from Asian emerging economies. PLoS One, 19(6):e0301597. doi: 10.1371/journal.pone.0301597.
Nyakurukwa, K. & Seetharam, Y. (2023). Alternatives to the efficient market hypothesis: an overview. Journal of Capital Markets Studies, 7(2), 111-124. https://doi.org/10.1108/JCMS-04-2023-0014.
Oluwafemi, O., & Balogun, O. (2024). Random walk theory and application. World Journal of Advanced Engineering Technology and Sciences, 11. 346-367. 10.30574/wjaets.2024.11.2.0116.
Papadamou, S., Koulis, A., Kyriakopoulos, C. F., Athanasios, P. (2022). Cannabis stocks returns: The role of liquidity and investors' attention via google metrics . International Journal of Financial Studies 10(1), 1-11
Peng, C. (2023). Research on the influencing factors of stock returns. Advances in Economics, Management and Political Sciences. 6. 337-344. 10.54254/2754-1169/6/20220170.
Rajan, R., Rajest, S., Shynu, T., & Steffi, R. (2024). Factors influencing the efficient market hypothesis: a stock exchange case study. 7. 75-89. 10.31150/ajebm.v7i3.
Rangkuti, M. M. (2019). The effect of intellectual capital and financial performance on firm value with return on investment as a modeling variable in the mining industry listed on Indonesia Stock Exchange. International Journal of Public Budgeting, Accounting and Finance, 2(4), 1-11.
Sethy, T. K., & Tripathy, N. P. (2024). A new method for estimating liquidity and stock returns in Indian stock market (2024). China Accounting & Finance Review, 26(2), [10.1108/CAFR-05-2023-0052], https://ssrn.com/abstract=4868829
Sourav, S. (2024). Random Walk Theory - What is Random Walk Theory? https://www.wallstreetmojo.com/random-walk-theory/
Sun, Y., & Zeng, X. (2022). Efficient markets: information or sentiment? doi: 10.2139/ssrn.4293484, available at: https://ssrn.com/abstract=4293484
Tauseef, S., & Dupuy, P. (2022). Pakistan: A study of market’s returns and anomalies. Journal of Economics, Finance and Administrative Science 27, 344–63.
Toan, N. B. & Thu-Trang, T. D. (2021). The impact of stock market development on economic growth: A GMM approach. Investment Management and Financial Innovations, 18(3), 74-81. doi:10.21511/imfi.18(3).2021.07
Tran, V.L. and Leirvik, T. (2019). A simple but powerful measure of market Efficiency, Finance Research Letters, 29, 141-151, doi: 10.1016/j.frl.2019.03.004.
Umoru, D. et al. (2024). Volatility spillovers across bitcoin, stock, and exchange rates markets. Corporate & Business Strategy Review, 5(2), 51-71. https://doi.org/10.22495/cbsrv5i2art5
Violita, C. (2019). Stock liquidity and stock return. Ekspektra: Jurnal Bisnis dan Manajemen 3(2),111. 10.25139/ekt.v3i2.2047.
Wang, A., Hudson, R., Rhodes, M., Zhang, S., Gregoriou, A. (2021). Stock liquidity and return distribution: Evidence from the London Stock Exchange. Finance Research Letters, 39, 101539, https://doi.org/10.1016/j.frl.2020.101539.
Wray, L. R. (2023). Post-Keynesian liquidity preference theory four decades later: a reexamination. Journal of Post Keynesian Economics, 46(4), 498–516. https://doi.org/10.1080/01603477.2023.2242332
Yang, Y., & Peng, Z. (2024). Openness and real exchange rate volatility: Evidence from China. Open Econ Rev 35, 121–158. https://doi.org/10.1007/s11079-023-09718-5
Yasuhiro, I. & Takehide, H. (2022). Liquidity shock and stock returns in the Japanese equity Market. Pacific-Basin Finance Journal, 75, 101849. https://doi.org/10.1016/j.pacfin.2022.101849.
Yaya, O. S., Adenikinju, O. O., & Olayinka, H. A. (2024). African stock markets’ connectedness: Quantile VAR approach. Modern Finance, 2(1), 51-68.
Yoon, Y. H., & Neupane, G. (2024). Liquidity preference, interest rate spread, and the transformation of the us financial system. Review of Radical Political Economics, 56(4), 497-509. https://doi.org/10.1177/04866134241275185
Zarei, Z., Kasmaei, H. G., & Akbari, M. L. (2019). The effect of exchange rate on stock index returns in selected developing countries. International Journal of Economic Perspectives, 13(1), 120-129
Zhang, M., Zhu, B., Li, Z. et al. (2024). Relationships among return and liquidity of cryptocurrencies. Financ Innov 10, 3. https://doi.org/10.1186/s40854-023-00532-z
Ali, A., Rahman, H.U., Arian, A., Sands, J. (2023). Flight-to-liquidity and excess stock return: empirical evidence from a dynamic panel model. J. Risk Financial Management, 16, 515. https://doi.org/10.3390/jrfm16120515.
Almeida, H. (2021). Liquidity management during the Covid‐19 pandemic. Asia‐Pacific Journal of Financial Studies, 50(1), 7-24.
Apergis, N., &Vouzavlis, C. (2001). Price volatility and financial instability in emerging markets. IMF Working Paper, WP/01/060.
Ayesha, J., Muhammad, Y., Yasmeen, A., Sadaf, Y., Jihoon, M., Seungmin, R. (2022). An empirical study of macroeconomic factors and stock returns in the context of economic uncertainty news sentiment using machine learning. https://doi.org/10.1155/2022/4646733
Bakala, T. (2024). The validity of Keynes’ preference for liquidity principle in the endogenous money supply thesis among post-keynesians. iBusiness, 16, 1-23. doi: 10.4236/ib.2024.161001.
Bakar, N. A., & Rosbi, S. (2019). Robust statistical portfolio investment in modern portfolio theory: a case study of two stocks combination in Kuala Lumpur Stock Exchange. International Journal of Engineering and Advanced Technology (IJEAT), 8.
Bhattacharya, S. N., Bhattacharya, M., Basu, S., & Elgammal, M. M. (2019). Stock market and its liquidity: Evidence from ARDL bound testing approach in the Indian context. Cogent Economics & Finance, 7(1). https://doi.org/10.1080/23322039.2019.1586297.
Chikwira, C., & Mohammed, J. I. (2023). The impact of the stock market on liquidity and economic growth: Evidence of volatile market. Economies , 11, 155. https://doi.org/10.3390/economies11060155.
Culham, J. (2020). Revisiting the concept of liquidity in liquidity preference. Cambridge Journal of Economics, 44(3), 491–505, https://doi.org/10.1093/cje/bez057
Defrizal, D., Romli, K., Purnomo, A., & Subing, H. A. (2021). A sectoral stock investment strategy model in Indonesia stock exchange. The Journal of Asian Finance, Economics, and Business, 8(1), 15-22.
Deng, H. (2024). Is Asia on the precipice of a currency crisis? Exploring regional risks and implications on the global economy. Independent Study Project (ISP) Collection. 3764. https://digitalcollections.sit.edu/isp_collection/3764.
Díaz, A., & Escribano, A. (2022). Liquidity dimensions in the US corporate bond markets. International Review of Economics & Finance 80: 1163–79.
Dimitris, C., Dimitris, G., Tullio, J., Geoff, K.(2024). Wealth shocks and portfolio choice. Journal of Monetary Economics, 103632, https://doi.org/10.1016/j.jmoneco.2024.103632.
Doojin, R., Robert, I. W., Jinyoung, Y. (2024). Stock price synchronicity and market liquidity: The role of funding liquidity. Finance Research Letters, 61. https://doi.org/10.1016/j.frl.2024.105051.
Effiong, S., & Ejabu, F. (2020). Liquidity risk management and financial performance: are consumer goods companies involved?. International Journal of Civil Engineering and Technology. 9. 2277-3878. 10.35940/ijrte.A1692.059120.
Fakhroni, Z., Ghozali, I., Harto, P., & Yuyetta, E. N. A. (2018). Free cash flow, investment inefficiency, and earnings management: evidence from manufacturing firms listed on the Indonesia Stock Exchange. Investment Management and Financial Innovations, 15, (1), 299-310.
Fama, E. F. (1995). Random walks in stock market prices. Financial Analysts Journal 51(1), 75-80, https://doi.org/10.2469/faj.v51.n1.1861.
Fama, E. F., & Kenneth R. F. (1989). Business conditions and expected returns on stocks and bonds. Journal of Financial Economics 25, 23-49.
Fama, E. F., & Kenneth R. F. (1992). The cross-section of expected stock returns. The Journal of Finance 47, 427-65.
Gholami, A., Sands, J., & Syed, S. (2023). Corporates’ sustainability disclosures impact on cost of capital and idiosyncratic risk. Meditari Accountancy Research 31: 861-86.
Hacini, I., Boulenfad, A., & Dahou. (2021). The impact of liquidity risk management on the financial performance of Saudi Arabian Banks. EMAJ: Emerging Markets Journal. 11. 67-75. 10.5195/emaj.2021.221.
Hiya, N., & Syafi’i, M. (2021). Contribution of investment efficiency in the relationship of free cash flow and firm value at Indonesia stock exchange. Humanities and Social Sciences, 4(4), 11116-11126.
Jian, H., Peng, L., Schwartz, R. A., & Alan, N. S. (202)). Resiliency and stock returns. The Review of Financial Studies, 33(2), 747–782, https://doi.org/10.1093/rfs/hhz048
Jossa, B. (2021). Liquidity preference theory or loanable funds theory. Archives of Business Research, 9(8), 87–91. https://doi.org/10.14738/abr.98.10544
Komba, C., Sobe, P. A. & Mwakujonga, J. (2024). Effects of interest and exchange rate volatility on stock returns: evidence from the financial sector of Tanzania. NG-Journal of Social Development, 13(1), 215-225. https://dx.doi.org/10.4314/ngjsd.v13i1.16
Kontuš, E., & Mihanović, D. (2019). Management of liquidity and liquid assets in small and medium-sized enterprises. Economic research-Ekonomska istraživanja, 32(1), 3247-3265.
Li, S., Teng, Z., & Yingxiang, L. (2019). Flight-to-liquidity: Evidence from China’s stock market. Emerging Markets Review 38: 159-81.
Li, Z., Wei, S. Y., Chunyan, L., N. Aldoseri, M. M., Qadus, A., & Hishan, S. S. (2021). The impact of CSR and green investment on stock return of Chinese export industry. Economic Research-Ekonomska Istraživanja, 1-17.
Malkiel, B. G. (2020). A Random Walk down Wall Street: The Time-Tested Strategy for Successful Investing (New York, NY: W.W. Norton & Company, 2020).
Marozva, G. (2019). Liquidity and stock returns: new evidence from Johannesburg stock exchange. The Journal of Developing Areas, 53(2), 79-90. https://www.jstor.org/stable/26501907
Masahiro, Y., Takatoshi, I. (2022). Price discovery and liquidity recovery: Forex market reactions to macro announcements. Journal of International Money and Finance, 120, 102502, https://doi.org/10.1016/j.jimonfin.2021.102502.
Mettle, F. O., Aidoo, E. K., Dowuona, C. O. N., & Agyekum, L. (2024). Analysis of investment returns as Markov chain random walk. International Journal of Mathematics and Mathematical Sciences. https://doi.org/10.1155/2024/3966566
Mexmonov, S. (2020). World experience of stock exchange operations. Архив научных исследований, 33(1).
Mondher, B. & Martinez, I. (2019). Efficient market hypothesis: an experimental study with uncertainty and asymmetric information. Revue Finance Contrôle Stratégie, 22(4), 27-51, December.
Murebu, W. K., Kuria, A., & Kariuki, B. (2024). Liquidity management practices and performance of horticultural firms in Laikipia County, Kenya. The Strategic Journal of Business & Change Management, 11 (3), 249 – 260. http://dx.doi.org/10.61426/sjbcm.v11i3.3019
Musneh, R., Abdul K. M.R., & Arokiadasan, B.C.G.A. (2021). Liquidity risk and stock returns: empirical evidence from industrial products and services sector in Bursa Malaysia. Futur Bus J 7, 60. https://doi.org/10.1186/s43093-021-00106-4
Muzaffar, Z, & Malik, I. R. (2024). Market liquidity and volatility: Does economic policy uncertainty matter? Evidence from Asian emerging economies. PLoS One, 19(6):e0301597. doi: 10.1371/journal.pone.0301597.
Nyakurukwa, K. & Seetharam, Y. (2023). Alternatives to the efficient market hypothesis: an overview. Journal of Capital Markets Studies, 7(2), 111-124. https://doi.org/10.1108/JCMS-04-2023-0014.
Oluwafemi, O., & Balogun, O. (2024). Random walk theory and application. World Journal of Advanced Engineering Technology and Sciences, 11. 346-367. 10.30574/wjaets.2024.11.2.0116.
Papadamou, S., Koulis, A., Kyriakopoulos, C. F., Athanasios, P. (2022). Cannabis stocks returns: The role of liquidity and investors' attention via google metrics . International Journal of Financial Studies 10(1), 1-11
Peng, C. (2023). Research on the influencing factors of stock returns. Advances in Economics, Management and Political Sciences. 6. 337-344. 10.54254/2754-1169/6/20220170.
Rajan, R., Rajest, S., Shynu, T., & Steffi, R. (2024). Factors influencing the efficient market hypothesis: a stock exchange case study. 7. 75-89. 10.31150/ajebm.v7i3.
Rangkuti, M. M. (2019). The effect of intellectual capital and financial performance on firm value with return on investment as a modeling variable in the mining industry listed on Indonesia Stock Exchange. International Journal of Public Budgeting, Accounting and Finance, 2(4), 1-11.
Sethy, T. K., & Tripathy, N. P. (2024). A new method for estimating liquidity and stock returns in Indian stock market (2024). China Accounting & Finance Review, 26(2), [10.1108/CAFR-05-2023-0052], https://ssrn.com/abstract=4868829
Sourav, S. (2024). Random Walk Theory - What is Random Walk Theory? https://www.wallstreetmojo.com/random-walk-theory/
Sun, Y., & Zeng, X. (2022). Efficient markets: information or sentiment? doi: 10.2139/ssrn.4293484, available at: https://ssrn.com/abstract=4293484
Tauseef, S., & Dupuy, P. (2022). Pakistan: A study of market’s returns and anomalies. Journal of Economics, Finance and Administrative Science 27, 344–63.
Toan, N. B. & Thu-Trang, T. D. (2021). The impact of stock market development on economic growth: A GMM approach. Investment Management and Financial Innovations, 18(3), 74-81. doi:10.21511/imfi.18(3).2021.07
Tran, V.L. and Leirvik, T. (2019). A simple but powerful measure of market Efficiency, Finance Research Letters, 29, 141-151, doi: 10.1016/j.frl.2019.03.004.
Umoru, D. et al. (2024). Volatility spillovers across bitcoin, stock, and exchange rates markets. Corporate & Business Strategy Review, 5(2), 51-71. https://doi.org/10.22495/cbsrv5i2art5
Violita, C. (2019). Stock liquidity and stock return. Ekspektra: Jurnal Bisnis dan Manajemen 3(2),111. 10.25139/ekt.v3i2.2047.
Wang, A., Hudson, R., Rhodes, M., Zhang, S., Gregoriou, A. (2021). Stock liquidity and return distribution: Evidence from the London Stock Exchange. Finance Research Letters, 39, 101539, https://doi.org/10.1016/j.frl.2020.101539.
Wray, L. R. (2023). Post-Keynesian liquidity preference theory four decades later: a reexamination. Journal of Post Keynesian Economics, 46(4), 498–516. https://doi.org/10.1080/01603477.2023.2242332
Yang, Y., & Peng, Z. (2024). Openness and real exchange rate volatility: Evidence from China. Open Econ Rev 35, 121–158. https://doi.org/10.1007/s11079-023-09718-5
Yasuhiro, I. & Takehide, H. (2022). Liquidity shock and stock returns in the Japanese equity Market. Pacific-Basin Finance Journal, 75, 101849. https://doi.org/10.1016/j.pacfin.2022.101849.
Yaya, O. S., Adenikinju, O. O., & Olayinka, H. A. (2024). African stock markets’ connectedness: Quantile VAR approach. Modern Finance, 2(1), 51-68.
Yoon, Y. H., & Neupane, G. (2024). Liquidity preference, interest rate spread, and the transformation of the us financial system. Review of Radical Political Economics, 56(4), 497-509. https://doi.org/10.1177/04866134241275185
Zarei, Z., Kasmaei, H. G., & Akbari, M. L. (2019). The effect of exchange rate on stock index returns in selected developing countries. International Journal of Economic Perspectives, 13(1), 120-129
Zhang, M., Zhu, B., Li, Z. et al. (2024). Relationships among return and liquidity of cryptocurrencies. Financ Innov 10, 3. https://doi.org/10.1186/s40854-023-00532-z