Title: The Effects of Liquidity for the China Stock Returns
Abstract: Using 100 stocks financial data from January 1996 to November 2003 in China stock market, we document the behavior of size effect, book-to-market effect and liquidity effects. The paper focus on the liquidity, which can be measured by turnover ratio,trading value and the turnover-volatility multiple. We also study the relation between these effects and the factors .The results hold in both cross-sectional and time-series analyses. The positive correlation between stock returns and market liquidity in time-series analysis is consistent with the cross-section analysis.
Publication Year: 2005
Publication Date: 2005-01-01
Language: en
Type: article
Access and Citation
AI Researcher Chatbot
Get quick answers to your questions about the article from our AI researcher chatbot