Table 2.

Variable descriptions.

Variable	Abbreviation	Measurement
Dependent variables (Stock liquidity) Price impact frequency
Amihud illiquidity estimate	Amihud	Daily ratio of absolute stock return to trading volume in Pakistani rupees averaged over the number of trading days in the financial year.
Liquidity Ratio	Amivest	Sum of daily trading volume over the sum of absolute stock return in a year.
Trading frequency
Turnover-adjusted zero daily volumes	LM	Turnover-adjusted zero daily volumes
Trading cost
Zero return measure	Zero	Proportion of zero daily returns over number of trading days in the financial year
Independent variables
Corporate governance index	CG_index	Combined index of BOD, GD, AC, OC.
Board of directors	Board_index	1) Board independence.
		2) CEO duality
		3) Board size
		4) Board meeting
		5) Gender diversity
Audit committee	Audit_index	1) Audit committee size
		2) Audit committee meeting
		3) Audit committee independence
		4) Engagement of Big 4 auditors
Ownership concentration	Top_Own	1) Shares of largest shareholder divided by total number of outstanding shares
Institutional ownership	Inst_Own	1) Shares owned by institutions divided by total number of outstanding shares
Moderator
Financial Transparency	FT	Earnings aggressiveness, loss avoidance and earnings smoothing.
Control variables
Firm size	size	Number of shares outstanding times share price at the end of fiscal year.
Leverage	leverage	Book value of total liabilities over book value of total assets.
Firm age	Age	The year, firm registered at the PSX.
Stock price	S_price	Natural log of stock price.
Volatility	VOLATILITY	Standard deviation Daily stock return.

Source: Author’s calculations (2020)