You are not logged in.

Non-tradable share reform, liquidity, and stock returns in China

Hung,C-HD, Chen,Q and Fang,V 2015, Non-tradable share reform, liquidity, and stock returns in China, International Review of Finance, vol. 15, no. 1, pp. 27-54, doi: 10.1111/irfi.12043.

Attached Files
Name Description MIMEType Size Downloads

Title Non-tradable share reform, liquidity, and stock returns in China
Author(s) Hung,C-HD
Chen,Q
Fang,VORCID iD for Fang,V orcid.org/0000-0001-8914-3363
Journal name International Review of Finance
Volume number 15
Issue number 1
Start page 27
End page 54
Publisher Wiley-Blackwell
Publication date 2015-03
ISSN 1369-412X
1468-2443
Summary This article studies the influence of the non-tradable share reform in the cross-section of stock returns in China. Prior research has generally neglected this important development in the Chinese stock market. We find that the firm-specific illiquidity measures that reflect direct transaction costs, price impact and difficulties in trading immediacy, exhibit a positive and significant relationship with stock returns. These effects are particularly pronounced after the non-tradable share reform. Furthermore, in the post-reform era, portfolios with high illiquidity (i.e. high relative bid-ask spread, high Amihud illiquidity, low Amivest liquidity ratio) significantly outperform portfolios with low illiquidity, controlling for size, and book-to-market effects.
Language eng
DOI 10.1111/irfi.12043
Field of Research 150201 Finance
Socio Economic Objective 900102 Investment Services (excl. Superannuation)
HERDC Research category C1 Refereed article in a scholarly journal
ERA Research output type C Journal article
Copyright notice ©2015, Wiley-Blackwell
Persistent URL http://hdl.handle.net/10536/DRO/DU:30071621

Document type: Journal Article
Collection: 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 2 times in TR Web of Science
Scopus Citation Count Cited 2 times in Scopus
Google Scholar Search Google Scholar
Access Statistics: 139 Abstract Views, 1 File Downloads  -  Detailed Statistics
Created: Thu, 19 Mar 2015, 14:44:58 EST

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.