The relationship between liquidity and returns on the Chinese stock market
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- Bazgour, Tarik & Heuchenne, Cédric & Hübner, Georges & Sougné, Danielle, 2021. "How do volatility regimes affect the pricing of quality and liquidity in the stock market?," LIDAM Reprints ISBA 2021038, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Liu, Min & Guo, Tongji & Ping, Weiying & Luo, Liangqing, 2023. "Sustainability and stability: Will ESG investment reduce the return and volatility spillover effects across the Chinese financial market?," Energy Economics, Elsevier, vol. 121(C).
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- An, Jiyoun & Ho, Kin-Yip & Zhang, Zhaoyong, 2020. "What drives the liquidity premium in the Chinese stock market?," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
- Hadhri, Sinda & Ftiti, Zied, 2019. "Commonality in liquidity among Middle East and North Africa emerging stock markets: Does it really matter?," Economic Systems, Elsevier, vol. 43(3).
- Jun Liu & Kai Wu & Fuwei Jiang & Zhiqi Shen, 2023. "How is illiquidity priced in the Chinese stock market?," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 63(S1), pages 1285-1320, April.
- Tong Fang & Zhi Su & Libo Yin, 2021. "Does the green inspiration effect matter for stock returns? Evidence from the Chinese stock market," Empirical Economics, Springer, vol. 60(5), pages 2155-2176, May.
- Ni, Zhong-Xin & Wang, Da-Zhong & Xue, Wen-Jun, 2015. "Investor sentiment and its nonlinear effect on stock returns—New evidence from the Chinese stock market based on panel quantile regression model," Economic Modelling, Elsevier, vol. 50(C), pages 266-274.
- Khaled Lafi Alnaif, 2014. "Stock Liquidity Determination Evidence from Amman Stock Exchange," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 4(12), pages 1894-1905, December.
- Chi-Hsiou D. Hung & Qiuliang Chen & Victor Fang, 2015. "Non-Tradable Share Reform, Liquidity, and Stock Returns in China," International Review of Finance, International Review of Finance Ltd., vol. 15(1), pages 27-54, March.
- Nguyen, Nhut H. & Lo, Ka Hei, 2013. "Asset returns and liquidity effects: Evidence from a developed but small market," Pacific-Basin Finance Journal, Elsevier, vol. 21(1), pages 1175-1190.
- VDMV Lakshmi & Garima Sisodia & Anto Joseph & Aviral Kumar Tiwari, 2024. "The conditional impact of market conditions, volatility and liquidity shocks on the arbitrage opportunities during pre‐COVID and COVID periods," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 29(3), pages 3007-3022, July.
- Tian Yuan & Rakesh Gupta & Robert J. Bianchi, 2015. "The Pre-Holiday Effect in China: Abnormal Returns or Compensation for Risk?," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 18(03), pages 1-28.
- Min Liu & Chien‐Chiang Lee & Wei‐Chong Choo, 2021. "An empirical study on the role of trading volume and data frequency in volatility forecasting," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(5), pages 792-816, August.
- Zhang, Tianyang & Lence, Sergio H., 2022. "Liquidity and asset pricing: Evidence from the Chinese stock markets," The North American Journal of Economics and Finance, Elsevier, vol. 59(C).
- Fousekis, Panos, 2020. "Sign and size asymmetry in the stock returns-implied volatility relationship," The Journal of Economic Asymmetries, Elsevier, vol. 21(C).
- Mousumi Bhattacharya & Sharad Nath Bhattacharya & Sumit Kumar Jha, 2022. "Does time-varying illiquidity matter for the Indian stock market? Evidence from high-frequency data," Australian Journal of Management, Australian School of Business, vol. 47(2), pages 251-272, May.
- Dong, Liang & Yu, Bo & Qin, Zhenjiang & Lam, Keith S.K., 2024. "Liquidity risk and expected returns in China’s stock market: A multidimensional liquidity approach," Research in International Business and Finance, Elsevier, vol. 69(C).
- Zhang, Bing & Wang, Yudong, 2015. "Limited attention of individual investors and stock performance: Evidence from the ChiNext market," Economic Modelling, Elsevier, vol. 50(C), pages 94-104.
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Returns Liquidity risk Chinese stock market;Statistics
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