Trading activity in G7 stock markets reflects not only the macroeconomic and financial impact of these G7 economies in international economic growth, but also their financial interdependence. While this nexus of major stock markets has been explored in terms of volatility and return spillovers,...

Recent evidence has shown that liquidity and idiosyncratic risk may be priced factors in the cross section of expected stock returns and that market capitalization significantly affects investor behavior and liquidity. We explore the interactions between liquidity, idiosyncratic risk and return...

The proposition that idiosyncratic volatility may matter in asset pricing is currently a topic of research and controversy. Using data from the UK market we examine the predictive ability of various measures of idiosyncratic risk and provide evidence which suggests that: (a) it is the...