Thesis (M.M. (Finance & Investment))--University of the Witwatersrand, Faculty of Commerce, Law and Management, Wits Business School, 2017. / The extent to which the liquidity has an impact on stock return continues to be an eagerly researched topic. The effect on liquidity on the return of stocks has been a greatly debated subject on the capital market theory. The thesis looks at the impact of liquidity on the stock indices return of eight frontier markets. The paper uses two methods to estimate the regression namely, unbalanced dynamic panel Generalised Method of Moments and Fixed Effect Model. An analysis on factors affecting liquidity was done and turnover ratio, Amivest ratio and Amihud ratio were used as a measure for liquidity. The correlation between stock return and the liquidity measure was mixed; with turnover ratio having a negative correlation. Amivest ratio has positive relationship consistent with the risk premium and was found to be significant. However, the correlation on the Amihud ratio was not consistent with the liquidity premium as it was found to be positive. Although negatively correlated to return, the turnover ratio was found to be insignificant. / MT 2017