| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5087471 | Journal of Asian Economics | 2011 | 8 Pages |
Abstract
⺠We examine the relationship between liquidity and returns on the Chinese stock market. ⺠Essentially, we consider both the Shanghai and Shenzhen stock exchanges. ⺠We used daily data for the period January 1997 to December 2003. ⺠We find mixed evidence on the relationship between liquidity and returns on both exchanges. ⺠There is greater evidence of liquidity having a negative effect on returns on the SHSE than on the SZSE. ⺠We could not find any robust effect of liquidity on returns despite using three proxies for liquidity.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Paresh Kumar Narayan, Xinwei Zheng,