Market liquidity risk factor and financial market anomalies : evidence from the Chinese stock market

Narayan, Paresh Kumar and Zheng, Xinwei 2010, Market liquidity risk factor and financial market anomalies : evidence from the Chinese stock market, Pacific-Basin finance journal, vol. 18, no. 5, pp. 509-520.

Attached Files
Name Description MIMEType Size Downloads

Title Market liquidity risk factor and financial market anomalies : evidence from the Chinese stock market
Author(s) Narayan, Paresh Kumar
Zheng, Xinwei
Journal name Pacific-Basin finance journal
Volume number 18
Issue number 5
Start page 509
End page 520
Total pages 12
Publisher Elsevier B.V.
Place of publication Amsterdam, The Netherlands
Publication date 2010-11
ISSN 0927-538X
Keyword(s) market liquidity risk factor
cross-sectional stock returns
China
Summary The Chinese stock market is an order-driven market and hence its characteristics are structurally different from quote-driven markets. There are no studies that consider the role of the market liquidity risk factor in determining cross-sectional stock returns in a model including financial market anomalies for order-driven markets. Our aim is to test whether financial market anomalies such as firm size, the book-to-market ratio, the turnover rate, and momentum both with and without the inclusion of the market liquidity risk factor in the case of the Chinese stock market can explain cross-sectional stock returns. The empirical framework is based on the model proposed by Avramov and Chordia (AC, 2006). Our main finding is that the AC model can capture financial market anomalies except momentum when we include the market liquidity risk factor on the Chinese stock market.
Language eng
Field of Research 150201 Finance
Socio Economic Objective 900101 Finance Services
HERDC Research category C1 Refereed article in a scholarly journal
Copyright notice ©2010, Elsevier B.V.
Persistent URL http://hdl.handle.net/10536/DRO/DU:30031549

Document type: Journal Article
Collections: Faculty of Business and Law
School of Accounting, Economics and Finance
Connect to link resolver
 
Unless expressly stated otherwise, the copyright for items in DRO is owned by the author, with all rights reserved.

Versions
Version Filter Type
Citation counts: TR Web of Science Citation Count  Cited 3 times in TR Web of Science
Scopus Citation Count Cited 4 times in Scopus
Google Scholar Search Google Scholar
Access Statistics: 416 Abstract Views, 4 File Downloads  -  Detailed Statistics
Created: Thu, 09 Dec 2010, 13:36:11 EST by Katrina Fleming

Every reasonable effort has been made to ensure that permission has been obtained for items included in DRO. If you believe that your rights have been infringed by this repository, please contact drosupport@deakin.edu.au.