mdh.sePublikasjoner
Endre søk
RefereraExporteraLink to record
Permanent link

Direct link
Referera
Referensformat
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Annet format
Fler format
Språk
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Annet språk
Fler språk
Utmatningsformat
  • html
  • text
  • asciidoc
  • rtf
Market illiquidity and market excess return: Cross-section and time-series effects: A study of the Shanghai stock exchange
Mälardalens högskola, Akademin för utbildning, kultur och kommunikation.
Mälardalens högskola, Akademin för utbildning, kultur och kommunikation.
2013 (engelsk)Independent thesis Advanced level (degree of Master (Two Years)), 20 poäng / 30 hpOppgave
Abstract [en]

The purpose of the current paper is to explore the cross-sectional relationship between market illiquidity and market excess return on stocks traded in the Shanghai Stock Exchange(SSE)over-time; using data from monthly and yearly databases of CSMAR(China Securities Market and Accounting Research) and statistics annual Shanghai Stock Exchange from 2001.1-2012.12.

We believe that the empirical tests on the stocks traded in the New York Stock Exchange (NYSE) of the well-established paper by Amihud(2002)would be potentially useful to be tested in a different setting, the SSE; in doing so, we apply the same illiquidity measure and estimating models to examine the hypotheses of the current study. In consideration of the aim of the current study, an illiquidity measure proposed by a Chinese scholar Huang (2009)is also applied in the empirical tests.

Due to that Chinese stock market is still young and under development, any outcomes from the current study that are dissimilar to the ones appeared in Amihud(2002) in the sense of the effectiveness of market illiquidity have nothing to do with the utility of illiquidity theory; rather, different market characteristics should be taken into account, such as the unpredictability of frequent policy interventions on a Chinese stock market, following Wang Fang, Han Dong and Jiang Xianglin (2002).

sted, utgiver, år, opplag, sider
2013. , s. 54
Emneord [en]
illiquidity, liquidity
HSV kategori
Identifikatorer
URN: urn:nbn:se:mdh:diva-24614OAI: oai:DiVA.org:mdh-24614DiVA, id: diva2:704213
Fag / kurs
Mathematics/Applied Mathematics
Presentation
2013-11-29, U2-158, Mälardalen University, Västerås, 18:00 (engelsk)
Veileder
Examiner
Tilgjengelig fra: 2014-03-12 Laget: 2014-03-10 Sist oppdatert: 2015-02-04bibliografisk kontrollert

Open Access i DiVA

Market illiquidity and market excess return Cross section and time series effets A study of the Shanghai stock exchange(1649 kB)923 nedlastinger
Filinformasjon
Fil FULLTEXT01.pdfFilstørrelse 1649 kBChecksum SHA-512
82104b84254aa579298080140a89d4c73b748aee1c23b14b314a6d500b5f87cdebf0384f57a32bd2d4a5301e7d7a1986c578d4a90f4186549e160c2d0bf18e80
Type fulltextMimetype application/pdf

Søk i DiVA

Av forfatter/redaktør
Li, WeitianHong, Xi
Av organisasjonen

Søk utenfor DiVA

GoogleGoogle Scholar
Totalt: 923 nedlastinger
Antall nedlastinger er summen av alle nedlastinger av alle fulltekster. Det kan for eksempel være tidligere versjoner som er ikke lenger tilgjengelige

urn-nbn

Altmetric

urn-nbn
Totalt: 261 treff
RefereraExporteraLink to record
Permanent link

Direct link
Referera
Referensformat
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Annet format
Fler format
Språk
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Annet språk
Fler språk
Utmatningsformat
  • html
  • text
  • asciidoc
  • rtf