Liquidity and stock returns: Evidence form Kazakhstan stock market

Abstract: A lot of well-known theorems and asset pricing models are derived from analysis of developed stock exchanges under conditions of absence of transaction costs. Thus, a lot of attention has been given to transaction cost effects on stock return, especially after the financial crisis of 2008. It is very hard to test the known theorems and models on global scale due to global intraday data being expensive and growing exponentially over time. Some attention has been given to mid stage emerging markets, however, smaller local stock exchanges have been left out. Therefore, this paper is an attempt to test how do the well-known theorems fit the "local" stock exchanges and find the effects of liquidity and currency on stock return. Unfortunately, due to the costs of the data the paper will be limited only to Kazakhstan stock market.