303
Views
16
CrossRef citations to date
0
Altmetric
Emerging Stock and Bond Markets: Performance and Volatility

Some Hypotheses on Commonality in Liquidity: New Evidence from the Chinese Stock Market

, &

References

  • Acharya, V.V., and L.H. Pedersen. 2005. Asset Pricing with Liquidity Risk. Journal of Financial Economics 77: 375–410.
  • Brockman, P., and D.Y. Chung. 2002. Commonality in Liquidity: Evidence from an Order-Driven Market Structure. Journal of Financial Research 4: 521–539.
  • Brockman, P.; D.Y. Chung; and C. Perignon. 2009. Commonality in Liquidity: A Global Perspective. Journal of Financial and Quantitative Analysis 44: 851–882.
  • Chan, K.; A. Menkveld; and Z. Yang. 2008. Information Asymmetry and Asset Prices: Evidence from the China Foreign Share Discount. Journal of Finance 63: 159–196.
  • Chordia, T.; R. Roll; and A. Subrahmanyam. 2000. Commonality in Liquidity. Journal of Financial Economics 56: 3–28.
  • ———. 2003. Determinants of Daily Fluctuations in Liquidity and Trading Activity. Cuadernos de Economia 40: 728–751.
  • Coughenour, J.F., and M.M. Saad. 2004. Common Market Makers and Commonality in Liquidity. Journal of Financial Economics 73: 37–69.
  • Domowitz, I.; O. Hansch; and X. Wang. 2005. Liquidity Commonality and Return Co-movement. Journal of Financial Markets 8: 351–376.
  • Fabre, J., and A. Frino. 2004. Commonality in Liquidity: Evidence from the Australian Stock Exchange. Accounting and Finance 44: 357–368.
  • Fan, J.P.H., and T.J. Wong. 2002. Corporate Ownership Structure and the Informativeness of Accounting Earnings in East Asia. Journal of Accounting and Economics 33: 401–425.
  • Fernando, C.S., and R.J. Herring. 2003. Commonality in Liquidity and Market Collapse: Theory and Application to the Market for Perps. Working Paper, AFA 2002 Atlanta Meetings, Wharton Financial Center, Atlanta, GA.
  • Fujimoto, A. 2003. Macroeconomic Sources of Systematic Liquidity. Working Paper, Yale University, New Haven, CT.
  • Gao, S. 2002. China Stock Market in a Global Perspective. South Brunswick, NJ: Dow Jones and Company, Inc.
  • Greenaway, D.; A. Mahabir; and C. Milner. 2008. Has China Displaced other Asian Countries’ Export? China Economic Review 19: 152–169.
  • Karolyi, G.A.; K.-H. Lee; and M.A. Van Dijk. 2008. Commonality in Returns, Liquidity, and Turnover around the World. Working Paper, Ohio State University, Athens, OH.
  • Korajczyk, R.A., and R. Sadka. 2008. Pricing the Commonality Across Alternative Measures of Liquidity. Journal of Financial Economics 87: 45–72.
  • Lee, C.J., and S. Xue. 2002. Earnings Management of loss-Firms in China. Working Paper, A.B. Freeman School of Business, Tulane University, New Orleans, LA. and School of Economics and Management, Tsinghua University, Beijing, China.
  • Lipson, M.L. 2003. Market Microstructure and Corporate Finance. Journal of Corporate Finance 9: 377–384.
  • Liu, T., and S. Green. 2003. China’s Informal Stock Market: How It Developed, How It Works and How It Might Grow. Working Paper, Asia Programme, The Royal Institute of International Affairs, London, UK.
  • O’Hara, M. Overview: market structure issues in market liquidity. Bank for International Settlements (BIS) Paper 2. Basel, Switzerland: Bank for International Settlements.
  • Pascual, R.; A. Escribano; and M. Tapia. 2004. On the Bi-dimensionality of Liquidity. European Journal of Finance 10: 542–566.
  • Pastor, L., and R. Stambaugh. 2003. Liquidity Risk and Expected Stock Returns. Journal of Political Economy 111: 642–685.
  • Pukthuanthong-Le, K., and N. Visaltanachoti. 2009. Commonality in Liquidity: Evidence from the Stock Exchange of Thailand. Pacific-Basin Finance Journal 17: 80–99.
  • Qin, Y. 2007. Liquidity and Commonality in Emerging Markets. Working Paper, National University of Singapore, Singapore.
  • Sarin, A.; K.A. Shastri; and K. Shastri. 2000. Ownership Structure and Stock Market Liquidity. Working Paper, Santa Clara University, Santa Clara, CA and University of Pittsburgh, Pittsburgh, PA.
  • Song, F. and H. Tan. 2005. Commonality in liquidity on an order-driven market: An empirical study on Chinese stock market. Collected Essays on Finance and Economics 3: 63–69. (in Chinese).
  • Su, D. 2003. Chinese Stock Markets: A Research Handbook. Singapore: World Scientific Publishing Co. Pre. Ltd.
  • Sujoto, C.; P.S. Kalev; and R.W. Faff. 2005. An Examination of Commonality in Liquidity: New Evidence, Long-Run Effects and Non-linearities. Working Paper, Department of Accounting and Finance, Monash University, Melbourne, Australia.
  • Sun, P., and D. Shi. 2002. Market Microstructure, Liquidity and Bid-Ask Spread: An Empirical Analysis of the Shanghai Stock Exchange. International Economics 4: 69–72. (in Chinese).
  • Wang, Q.; T.J. Wong; and L. Xia. 2008. State Ownership, the Institutional Environment, and Auditor Choice: Evidence from China. Journal of Accounting and Economics 46: 112–134.
  • Xu, C.K. 2000. The Microstructure of the Chinese Stock Market. Chinese Economic Review 11: 79–97.
  • Yang, C.; P. Sun; and D. Shi. 2003. An Explanation of Intraday Liquidity in the Shanghai Stock Market. International Economics 5: 53–58. ( in Chinese).

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.