Some Hypotheses on Commonality in Liquidity: New Evidence from the Chinese Stock Market

被引：15

作者：

Narayan, Paresh Kumar ^{[1
]}

Zhang, Zhichao ^{[2
]}

Zheng, Xinwei ^{[3
]}

机构：

[1] Deakin Univ, Deakin Business Sch, Ctr Econ & Financial Econometr Res, Burwood, Vic 3125, Australia

[2] Univ Durham, Sch Business, Durham, England

[3] Deakin Univ, Fac Business & Law, Dept Finance, Burwood, Vic 3125, Australia

来源：

EMERGING MARKETS FINANCE AND TRADE | 2015年 / 51卷 / 05期

关键词：

asymmetric information; Chinese stock exchange; commonality in liquidity; size effects; MICROSTRUCTURE; OWNERSHIP; RISK;

D O I：

10.1080/1540496X.2015.1061799

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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 sectorsfinancial, industrial, and resourcesthe industrial sector's 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.

引用

页码：915 / 944

页数：30

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