Abstract

http://ssrn.com/abstract=1536039
 
 

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Liquidity Impact on Sector Returns of Stock Market: Evidence of China


Junzo Watada


The Graduate School of Information, Production and Systems, Waseda University

Bing Xu


Zhejiang Gongshang University (ZJGSU)

July 4, 2008

Asia Pacific Journal of Finance and Banking Research, Vol. 2, No. 2, 2008

Abstract:     
Based on the model of weighted nonparametric estimation, the study aims to investigate liquidity impact on sector returns in Stock Exchanges in China. The two results are empirically shown using the data of financial services, traffic facilities, and nonferrous metals sectors from Shanghai and Shenzhen Stock Exchanges. First, negative relationship between return and liquidity is found and the expected returns of sectors are obviously reduced with liquidity impact. Second, the expected return of finance sector witnesses a weaker liquidity impact than the ones of traffic facilities and nonferrous metal sectors.

Number of Pages in PDF File: 14

Keywords: Liquidity impact, weighted nonparametric estimation, sector returns, negative relationship

JEL Classification: G14, G15

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Date posted: January 18, 2010  

Suggested Citation

Watada, Junzo and xu, bing, Liquidity Impact on Sector Returns of Stock Market: Evidence of China (July 4, 2008). Asia Pacific Journal of Finance and Banking Research, Vol. 2, No. 2, 2008. Available at SSRN: http://ssrn.com/abstract=1536039

Contact Information

Junzo Watada (Contact Author)
The Graduate School of Information, Production and Systems, Waseda University ( email )
Room S221,
2-7 Hibikino, Wakamatsu,
Kitakyushu, Fukuoka 808-0135
Japan
+90-3464-4929 (Phone)
+81-93-692-5179 (Fax)
HOME PAGE: http://www.f.waseda.jp/Watada/
Bing Xu
Zhejiang Gongshang University (ZJGSU) ( email )
Zhejiang
China
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