Stock market liquidity and trading activity: Is China different?

被引：40

作者：

Ma, Rui ^{[1
]}

Anderson, Hamish D. ^{[1
]}

Marshall, Ben R. ^{[1
]}

机构：

[1] Massey Univ, Palmerston North, New Zealand

来源：

INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS | 2018年 / 56卷

关键词：

Liquidity; Trading activity; Volume; Stock market; China; EFFICIENCY; COMMONALITY; ILLIQUIDITY; CRISIS;

D O I：

10.1016/j.irfa.2017.12.010

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We study market-wide liquidity and trading activity in China. Trading activity increases in up markets more than in down markets, which is consistent with the disposition effect and the large number of unsophisticated retail investors in China. Whereas, on average, liquidity and trading activity are lower around holidays, more recently, trading activity has been significantly lower before holidays and higher afterward. Aggregate short selling and margin trading activity boost trading activity, but short selling also increases spreads, indicating lower liquidity. We also document the positive effects of other recent regulatory changes and the increased influence of global factors in China.

引用

页码：32 / 51

页数：20

共 42 条

[1] Illiquidity and stock returns: cross-section and time-series effects [J].