Some hypotheses on commonality in liquidity: new evidence from the Chinese stock market
Data(s) |
03/09/2015
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Resumo |
In this article, we examine four specific hypotheses relating to commonality in liquidity on the Chinese stock markets. These hypotheses are (1) that market-wide liquidity determines liquidity of individual stocks; (2) that liquidity varies with firm size; (3) that sectoral-based liquidity affects individual stock liquidities differently; and (4) that commonality in liquidity has an asymmetric effect. Drawing on a two-year data set on the Shanghai and Shenzhen stock exchanges comprising over 34 million and 48 million transactions, respectively, we find strong support for commonality in liquidity and a greater influence of industry-wide liquidity in explaining liquidity of individual stocks. Moreover, our results suggest that of the three main sectors - financial, industrial, and resources - the industrial sectors liquidity is most important in explaining individual stock liquidities. Finally, we do not find any evidence of size effects and document an asymmetric effect of market-wide liquidity on liquidity of individual stocks. |
Identificador | |
Idioma(s) |
eng |
Publicador |
Routledge |
Relação |
http://dro.deakin.edu.au/eserv/DU:30078303/narayan-somehypotheses-2015.pdf http://doi.org/10.1080/1540496X.2015.1061799 https://symplectic.its.deakin.edu.au/viewobject.html?cid=1&id=104508 |
Direitos |
2015, Taylor & Francis |
Palavras-Chave | #asymmetric information #Chinese stock exchange #commonality in liquidity #size effects |
Tipo |
Journal Article |