Liquidity and stock returns : empirical evidence in China
We study how liquidity affects the cross-section of stock returns in China stock markets. Using the illiquidity measure of Amihud (2002), we document that stock returns are positively correlated with the lagged illiquidity, and negatively correlated with the contemporaneous illiquidity. When the s...
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sg-ntu-dr.10356-508452023-05-19T07:23:12Z Liquidity and stock returns : empirical evidence in China Lam, Pei Xin Lim, Yi Fong Ong, Xin Yuan Chang Xin Nanyang Business School DRNTU::Business::Finance::Capital market DRNTU::Business::Finance::Equity We study how liquidity affects the cross-section of stock returns in China stock markets. Using the illiquidity measure of Amihud (2002), we document that stock returns are positively correlated with the lagged illiquidity, and negatively correlated with the contemporaneous illiquidity. When the stocks are sorted according to market types, we find that the impact of illiquidity on stock returns is most pronounced for the Growth Enterprise Market (GEM), followed by A-shares then, B-shares markets. Our results are qualitatively the same when stock turnover is used as an alternative measure of liquidity. BUSINESS 2012-11-21T08:17:09Z 2012-11-21T08:17:09Z 2012 2012 Final Year Project (FYP) http://hdl.handle.net/10356/50845 en Nanyang Technological University 42 p. application/pdf |
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DRNTU::Business::Finance::Capital market DRNTU::Business::Finance::Equity Lam, Pei Xin Lim, Yi Fong Ong, Xin Yuan Liquidity and stock returns : empirical evidence in China |
| description |
We study how liquidity affects the cross-section of stock returns in China stock markets. Using the illiquidity measure of Amihud (2002), we document that stock returns are positively correlated with the lagged illiquidity, and negatively correlated with the contemporaneous illiquidity. When the stocks are sorted according to market types, we find that the impact of illiquidity on stock returns is most pronounced for the Growth Enterprise Market (GEM), followed by A-shares then, B-shares markets. Our results are qualitatively the same when stock turnover is used as an alternative measure of liquidity. |
| author2 |
Chang Xin |
| author_facet |
Chang Xin Lam, Pei Xin Lim, Yi Fong Ong, Xin Yuan |
| format |
Final Year Project |
| author |
Lam, Pei Xin Lim, Yi Fong Ong, Xin Yuan |
| author_sort |
Lam, Pei Xin |
| title |
Liquidity and stock returns : empirical evidence in China |
| title_short |
Liquidity and stock returns : empirical evidence in China |
| title_full |
Liquidity and stock returns : empirical evidence in China |
| title_fullStr |
Liquidity and stock returns : empirical evidence in China |
| title_full_unstemmed |
Liquidity and stock returns : empirical evidence in China |
| title_sort |
liquidity and stock returns : empirical evidence in china |
| publishDate |
2012 |
| url |
http://hdl.handle.net/10356/50845 |
| _version_ |
1772828481700233216 |