کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5069227 1476982 2017 9 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
High turnover with high price delay? Dissecting the puzzling phenomenon for China's A-shares
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
High turnover with high price delay? Dissecting the puzzling phenomenon for China's A-shares
چکیده انگلیسی
Following Barinov (2014), we decompose turnover into three components associated with liquidity, firm specific uncertainty, and investor attention and investigate their respective influences on price delay using a sample from 2008 to 2014. We find turnover has a positive relationship with uncertainty as well as investor attention measures, while turnover is negatively related to liquidity measures. Moreover, the turnover components which are related to uncertainty and illiquidity have positive impacts on price delay, and these impacts dominate the negative impact on delay from the attention component of turnover. Consequently, we observe an overall positive relationship between turnover and price delay.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Finance Research Letters - Volume 22, August 2017, Pages 105-113
نویسندگان
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