The Structural Changes of Liquidity Risk, and Liquidity Risk Premium in China Stock Market

被引：7

作者：

Ma, Xinxin ^{[1
]}

Song, Pengcheng ^{[1
]}

Zhang, Xuan ^{[2
]}

机构：

[1] Univ Glasgow, Adam Smith Business Sch, Glasgow, Lanark, Scotland

[2] Nanjing Audit Univ, Inst Econ & Finance, Nanjing, Jiangsu, Peoples R China

来源：

EMERGING MARKETS FINANCE AND TRADE | 2020年 / 56卷 / 14期

关键词：

Chinese stock market; liquidity risk premium; split-share structure reform; CROSS-SECTION; EQUILIBRIUM; PRICES; ASK; ILLIQUIDITY; RETURNS;

D O I：

10.1080/1540496X.2019.1601554

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

The Chinese stock market's liquidity risk premium at medium-size and large companies declined from 2002 to 2016. We find the liquidity risk premium is negative during this period. The negative liquidity risk premium demonstrates that sellers prefer to compensate buyers when stock prices crash. In addition, the portfolio liquidity risk has a structural change after the split-share structure reform. Portfolio liquidity risk diverges from the relevant prehistorical betas, during the split-share structure reform. Similarly, the historical liquidity beta is nonmonotonic with postranking liquidity beta, before the reform. However, the historical liquidity beta is monotonic with postranking beta, after the reform.

引用

页码：3507 / 3521

页数：15

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