While there is no doubt about the implications of liquidity in asset pricing, there has been little discussion on the variation of Liquidity Beta, i.e. return sensitivity of liquidity on the stocks of emerging economies. This paper shows, how market level Liquidity Beta varies across the time periods and gives an indication regarding its potential drivers in Indian context. The study also finds that Infrastructure and Financial Services has higher absolute Liquidity Beta in comparison to the other industries.
Liquidity Beta, Returns, Emerging markets, NSE, Mid-cap stocks
