Deakin University
Browse

File(s) under permanent embargo

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

Version 2 2024-06-06, 11:46
Version 1 2015-03-19, 15:44
journal contribution
posted on 2024-06-06, 11:46 authored by C-HD Hung, Q Chen, V Fang
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.

History

Journal

International Review of Finance

Volume

15

Pagination

27-54

ISSN

1369-412X

eISSN

1468-2443

Language

eng

Publication classification

C Journal article, C1 Refereed article in a scholarly journal

Copyright notice

2015, Wiley

Issue

1

Publisher

Wiley-Blackwell