CSR, Media and Stock Illiquidity: Evidence from Chinese Listed Financial Firms

被引：9
|
作者：
Zhang, Junru [1 ]
Zhang, Zhaoyong [2 ]
机构：
[1] Murdoch Univ, Murdoch Business Sch, Murdoch, WA, Australia
[2] Edith Cowan Univ, Sch Business & Law, 270 Joondalup Dr, Joondalup, WA 6027, Australia
来源：
FINANCE RESEARCH LETTERS | 2021年 / 41卷
关键词：
CSR; CSR News release; Media tone; Stock illiquidity; PUBLIC INFORMATION ARRIVAL; VOLATILITY EVIDENCE; BAD-NEWS; LIQUIDITY; IMPACT;
D O I：
10.1016/j.frl.2020.101809
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
This paper examines the dynamic relationship among stock illiquidity, corporate social responsibility (CSR) news release and media tone. Using news from 93 news publishers, we investigate the circumstance in which public news release is related to illiquidity by employing the EGARCH-M and the FIGARCH models. The results indicate that CSR news release has a negative and significant impact on stock illiquidity, and media tone effect is asymmetric. Both CSR news and other firm specific general news reduce the volatility persistence and long memory property of stock illiquidity. The sources of news releases matter in impacting stock illiquidity.
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页数：7
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