This paper examines the impact of illiquidity and liquidity risk on expected stock returns in the Turkish stock markets. Using daily data of the ISE-100 stock index from 2005 to 2012 and Amihud (2002) illiquidity measure, we test the liquidity-adjusted capital asset pricing model (L-CAPM) of...

This paper considers estimating the conditional mean and variance from a single-equation dynamic model with the mean following an ARMA (1,7) process, and the conditional variance with time-dependent conditional heteroskedasticity as represented by ARCH models. The volatility is measured by a...