Stock liquidity determinant and liquidity premium in the Vietnamese market

This study examines the determinants of stock liquidity and the existence of a liquidity premium in the Vietnamese stock market. Using panel data of non-financial listed firms, we analyze the impact of internal corporate and macroeconomic factors on liquidity. Results show that variables such as asset turnover, profitability, and GDP growth significantly influence liquidity. We then assess whether liquidity is priced in stock returns. The findings reveal a positive and significant relationship between liquidity and annual stock returns, confirming the presence of a liquidity premium. Liquidity explains return variation better than traditional firmspecific factors. These results have implications for asset pricing, investment strategies, and market policy in emerging economies.