TY - JOUR
T1 - The relationship between liquidity and returns on the Chinese stock market
AU - Narayan, Paresh Kumar
AU - Zheng, Xinwei
N1 - Copyright:
Copyright 2011 Elsevier B.V., All rights reserved.
PY - 2011/6
Y1 - 2011/6
N2 - The goal of this paper is to examine the impact of liquidity on returns on the Shanghai stock exchange (SHSE) and the Shenzhen stock exchange (SZSE). We proxy liquidity with the trading volume (TV), the turnover rate (TR), and the trading probability (TP). Using daily data for the period January 1997 and December 2003, we find mixed results on the relationship between liquidity and returns. There is greater evidence of liquidity having a negative effect on returns on the SHSE than on the SZSE. However, this evidence is not robust across the three proxies for liquidity that we use.
AB - The goal of this paper is to examine the impact of liquidity on returns on the Shanghai stock exchange (SHSE) and the Shenzhen stock exchange (SZSE). We proxy liquidity with the trading volume (TV), the turnover rate (TR), and the trading probability (TP). Using daily data for the period January 1997 and December 2003, we find mixed results on the relationship between liquidity and returns. There is greater evidence of liquidity having a negative effect on returns on the SHSE than on the SZSE. However, this evidence is not robust across the three proxies for liquidity that we use.
KW - Chinese stock market
KW - Liquidity risk
KW - Returns
UR - http://www.scopus.com/inward/record.url?scp=79955586536&partnerID=8YFLogxK
U2 - 10.1016/j.asieco.2011.02.005
DO - 10.1016/j.asieco.2011.02.005
M3 - Article
AN - SCOPUS:79955586536
SN - 1049-0078
VL - 22
SP - 259
EP - 266
JO - Journal of Asian Economics
JF - Journal of Asian Economics
IS - 3
ER -