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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.

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Title Non-tradable share reform, liquidity, and stock returns in China
Author(s) Hung,C-HD
Fang,VORCID iD for Fang,V
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
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
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Document type: Journal Article
Collection: School of Accounting, Economics and Finance
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Created: Thu, 19 Mar 2015, 14:44:58 EST

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