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Market illiquidity and market excess return: Cross-section and time-series effects: A study of the Shanghai stock exchange
Mälardalen University, School of Education, Culture and Communication.
Mälardalen University, School of Education, Culture and Communication.
2013 (English)Independent thesis Advanced level (degree of Master (Two Years)), 20 credits / 30 HE creditsStudent thesis
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).

Place, publisher, year, edition, pages
2013. , 54 p.
Keyword [en]
illiquidity, liquidity
National Category
Probability Theory and Statistics
Identifiers
URN: urn:nbn:se:mdh:diva-24614OAI: oai:DiVA.org:mdh-24614DiVA: diva2:704213
Subject / course
Mathematics/Applied Mathematics
Presentation
2013-11-29, U2-158, Mälardalen University, Västerås, 18:00 (English)
Supervisors
Examiners
Available from: 2014-03-12 Created: 2014-03-10 Last updated: 2015-02-04Bibliographically approved

Open Access in DiVA

Market illiquidity and market excess return Cross section and time series effets A study of the Shanghai stock exchange(1649 kB)626 downloads
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CiteExportLink to record
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Cite
Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf