Liquidity and stock returns : empirical evidence in China

• المؤلفون الرئيسيون: Lam, Pei Xin, Lim, Yi Fong, Ong, Xin Yuan
• مؤلفون آخرون: Chang Xin
• التنسيق: Final Year Project
• اللغة: English
• منشور في: 2012
• الموضوعات: DRNTU::Business::Finance::Capital market; DRNTU::Business::Finance::Equity
• الوصول للمادة أونلاين: http://hdl.handle.net/10356/50845
• المؤسسة: Nanyang Technological University

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...