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CSR, Media and Stock Illiquidity: Evidence from Chinese Listed Financial Firms

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  • Zhang, Junru
  • Zhang, Zhaoyong

Abstract

This paper examines the dynamic relationship among stock illiquidity, corporate social responsibility (CSR) news release and media tone. Using news from 93 news publishers, we investigate the circumstance in which public news release is related to illiquidity by employing the EGARCH-M and the FIGARCH models. The results indicate that CSR news release has a negative and significant impact on stock illiquidity, and media tone effect is asymmetric. Both CSR news and other firm specific general news reduce the volatility persistence and long memory property of stock illiquidity. The sources of news releases matter in impacting stock illiquidity.

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  • Zhang, Junru & Zhang, Zhaoyong, 2021. "CSR, Media and Stock Illiquidity: Evidence from Chinese Listed Financial Firms," Finance Research Letters, Elsevier, vol. 41(C).
    • Handle: RePEc:eee:finlet:v:41:y:2021:i:c:s1544612320316238
    DOI: 10.1016/j.frl.2020.101809
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    More about this item

    Keywords

    CSR; News release; Media tone; Stock illiquidity;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
    • M41 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Accounting - - - Accounting

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