LIQUIDITY AND MARKET RETURN : A CASE OF NATIONAL STOCK EXCHANGE OF INDIA LTD .
The study examines the impact of liquidity on market return. The turnover ratio has been taken as a proxy of the liquidity while the return of S&P CNX Nifty has been used. The study uses the monthly data for the period of five years spread over 2003-04 to 2007-08. It has been observed that almost all
companies listed at NSE are being traded but the frequent trading is concentrated to the few companies. On an average, turnover ratio is sufficient to say the market is liquid; it is because of the large cap companies which have captured a huge part of the total trading. It has been found that the
turnover ratio do not play any role in the market return.