EconPapers    
Economics at your fingertips  
 

An Empirical Study of Liquidity and Return Autocorrelations in the Chinese Stock Market

Chen Yang ()

Asia-Pacific Financial Markets, 2015, vol. 22, issue 3, 261-282

Abstract: We investigate how the Nontradable Share Reform (NTS Reform) affects cross-sectional relations between liquidity and stock return autocorrelations using a new illiquidity measure that measures more precisely the liquidity of the Chinese stock market. We find that winner and loser portfolios exhibit different return autocorrelations before and after the NTS Reform. All return autocorrelations are stronger for high-illiquidity portfolios after controlling for turnover ratio. We use market capitalization to determine the extent of speculative trading and assume that return reversal (continuation) accompanied by high illiquidity occurs in large (small) stocks. Our empirical results are remarkably consistent with our hypothesis after the NTS Reform. Copyright Springer Japan 2015

Keywords: Information asymmetry; Liquidity; Return continuation; Return reversal; G11; G12 (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations Track citations by RSS feed

Downloads: (external link)
http://hdl.handle.net/10.1007/s10690-015-9203-5 (text/html)
Access to full text is restricted to subscribers.

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:kap:apfinm:v:22:y:2015:i:3:p:261-282

Ordering information: This journal article can be ordered from
http://www.springer.com/finance/journal/10690/PS2

Access Statistics for this article

Asia-Pacific Financial Markets is currently edited by Jiro Akahori

More articles in Asia-Pacific Financial Markets from Springer, Japanese Association of Financial Economics and Engineering
Series data maintained by Sonal Shukla ().

 
Page updated 2017-09-29
Handle: RePEc:kap:apfinm:v:22:y:2015:i:3:p:261-282