Non-tradable share reform, liquidity, and stock returns in China
Data(s) |
01/03/2015
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Resumo |
This article studies the influence of the non-tradable share reform in the cross-section of stock returns in China. Prior research has generally neglected this important development in the Chinese stock market. We find that the firm-specific illiquidity measures that reflect direct transaction costs, price impact and difficulties in trading immediacy, exhibit a positive and significant relationship with stock returns. These effects are particularly pronounced after the non-tradable share reform. Furthermore, in the post-reform era, portfolios with high illiquidity (i.e. high relative bid-ask spread, high Amihud illiquidity, low Amivest liquidity ratio) significantly outperform portfolios with low illiquidity, controlling for size, and book-to-market effects. |
Identificador | |
Idioma(s) |
eng |
Publicador |
Wiley-Blackwell |
Relação |
http://dro.deakin.edu.au/eserv/DU:30071621/t034429-IRF-Hung-Fang2015.pdf http://www.dx.doi.org/10.1111/irfi.12043 |
Direitos |
2015, Wiley-Blackwell |
Tipo |
Journal Article |