Does stock liquidity affect bankruptcy risk? DID analysis from Vietnam

Hai Trinh, Canh Phuc Nguyen, Wei Hao and Udomsak Wongchoti

Pacific-Basin Finance Journal, 2021, vol. 69, issue C

Abstract: We provide an out-of-sample test on Brogaard et al. (2017)’s difference-in-differences (DID) finding that stock liquidity affects US firm Expected Default Frequency (EDF), in the context of an emerging market. With daily transaction data, we reaffirm the role of stock liquidity on reducing firms' default risk in the US and its extended applicability to Vietnam. Our results highlight another benefit from promoting stock market liquidity as it could allow for sustainable development of an emerging equity market.

Keywords: Stock liquidity; Default risk; Vietnam stock market (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (8)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0927538X21001414
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:pacfin:v:69:y:2021:i:c:s0927538x21001414

DOI: 10.1016/j.pacfin.2021.101634

Access Statistics for this article

Pacific-Basin Finance Journal is currently edited by K. Chan and S. Ghon Rhee

More articles in Pacific-Basin Finance Journal from Elsevier
Bibliographic data for series maintained by Catherine Liu ().