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
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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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
Journal: Finance Research Letters - Volume 22, August 2017, Pages 105-113
نویسندگان
Qian Meifen, Sun Ping-Wen, Yu Bin,