The informational variables impact on firm’s liquidity in the French market

Faten Moussa; Ezzeddine  Delhoumi

doi:10.55429/ijabf.v2i1.94

Authors

Faten Moussa Mediterranean School of Business, South Mediterranean University, Tunisia
Ezzeddine Delhoumi Department of Quantitative Methods & LEFA, IHEC Carthage, Carthage University, Tunisia

DOI:

https://doi.org/10.55429/ijabf.v2i1.94

Keywords:

Liquidity, Bid-Ask spread, Information asymmetry, Information demand and supply, Amihud ratio, Turnover Price Impact

Abstract

This paper investigates the informational variables impact on stock liquidity in the French market. We use two types of informational variables: Google search volume from Google Trends database as a proxy of information demand and news headlines for each stock as a proxy for information supply. Concerning the liquidity proxies, we use these measures: the quoted spread, the turnover price impact and the Amihud illiquidity ratio. The results indicate that information variables have an influence on stock liquidity.

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