Market pricing of liquidity risk: evidence from China

Raheel Safdar, Sultan Sikandar Mirza and Tanveer Ahsan
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Raheel Safdar: University of Veterinary and Animal Sciences
Sultan Sikandar Mirza: ZJSU - Zhejiang Gongshang University [Hangzhou]
Tanveer Ahsan: ESC [Rennes] - ESC Rennes School of Business

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Abstract: The purpose of this paper is to investigate whether liquidity risk (i.e. the returns' vulnerability to the unexpected changes in overall market liquidity) is a priced risk factor in China. Moreover, it investigates the potential role of a stock's information quality in reducing its liquidity risk during the period of post-non-tradable shares reforms in China.

Keywords: China; Liquidity risk; Information quality; Asset pricing (search for similar items in EconPapers)
Date: 2019-11-18
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Citations: View citations in EconPapers (4)

Published in China Finance Review International, 2019, 9 (4), pp.554-566. ⟨10.1108/CFRI-01-2019-0013⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-02463088

DOI: 10.1108/CFRI-01-2019-0013

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