Hung, C.-H. D. , Chen, Q. and Fang, V. (2015) Non-tradable share reform, liquidity and stock returns in China. International Review of Finance, 15(1), pp. 27-54. (doi: 10.1111/irfi.12043)
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Abstract
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.
Item Type: | Articles |
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Status: | Published |
Refereed: | Yes |
Glasgow Author(s) Enlighten ID: | Hung, Dr Daniel |
Authors: | Hung, C.-H. D., Chen, Q., and Fang, V. |
College/School: | College of Social Sciences > Adam Smith Business School > Accounting and Finance |
Journal Name: | International Review of Finance |
Publisher: | Wiley-Blackwell Publishing Asia |
ISSN: | 1369-412X |
ISSN (Online): | 1468-2443 |
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