In his seminal paper, Brooks argues that the relation between return volatility and trading volume can be both linear and nonlinear. Adopting both linear and nonlinear Granger causality tests, he shows that there exists both linear and nonlinear bi-directional causality between trading volumes...

This study investigates the role of higher co-moments on stock returns in two important stock markets: China and the UK. Implementing a utility function that accommodates higher moment preferences into the equilibrium asset pricing analysis, it can be deduced that the expected stock returns,...

This study investigates the role of liquidity in pricing stock returns in the Hong Kong stock market. Our results show that liquidity is an important factor for pricing returns in Hong Kong after taking well-documented asset pricing factors into consideration. The results are robust to adding...