This study aims to examine the relation between illiquidity, feedback trading and stock returns for several European markets, using panel regression methods, during the financial and the sovereign debt crises. The authors’ interest here lies twofold. First, the authors seek to compare the results obtained here under crisis conditions with those in the existing literature. Second, and of greater importance, the authors wish to examine the interaction between liquidity and feedback trading and their effect on stock returns.,The authors jointly model both feedback trading and illiquidity, which are typically considered in isolation. The authors use panel estimation methods to examine the relations across the European markets as a whole.,The key results suggest that in common with the literature, illiquidity has a negative impact upon contemporaneous stock returns, while supportive evidence of positive feedback trading is reported. However, in contrast to the existing literature, lagged illiquidity is not a priced risk, while negative shocks do not lead to greater feedback trading behaviour. Regarding the interaction between illiquidity and feedback trading, the study results support the view that greater illiquidity is associated with stronger positive feedback.,The study results suggest that when price changes are more observable, due to low liquidity, then feedback trading increases. Therefore, during the crisis periods that afflicted European markets, the lower levels of liquidity prevalent led to an increase in feedback trading. Thus, negative liquidity shocks that led to a fall in stock prices were exacerbated by feedback trading.

中文翻译：

---

股票收益，流动性不足和反馈交易

本研究旨在通过面板回归方法研究金融和主权债务危机期间几个欧洲市场的流动性，反馈交易和股票收益之间的关系。作者的兴趣有两个方面。首先，作者试图将危机条件下此处获得的结果与现有文献中的结果进行比较。其次，更重要的是，作者希望研究流动性和反馈交易之间的相互作用及其对股票收益的影响。作者共同对反馈交易和非流动性进行建模，这通常是孤立考虑的。作者使用面板估计方法来研究整个欧洲市场之间的关系。主要结果表明，与文献相同，流动性不足对同期的股票收益产生负面影响，而据报道正反馈交易的支持证据。但是，与现有文献相反，滞后的流动性不是定价风险，而负面冲击不会导致更大的反馈交易行为。关于非流动性与反馈交易之间的相互作用，研究结果支持以下观点：更大的非流动性与较强的正反馈相关。研究结果表明，当价格变化更明显时，由于流动性低，反馈交易就会增加。因此，在困扰欧洲市场的危机时期，较低的流动性导致了反馈交易的增加。因此，反馈交易加剧了导致股票价格下跌的负面流动性冲击。