Liquidity Impact on Sector Returns of Stock Market: Evidence of China
The Graduate School of Information, Production and Systems, Waseda University
Zhejiang Gongshang University (ZJGSU)
July 4, 2008
Asia Pacific Journal of Finance and Banking Research, Vol. 2, No. 2, 2008
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, G15Accepted Paper Series
Date posted: January 18, 2010
© 2014 Social Science Electronic Publishing, Inc. All Rights Reserved.
This page was processed by apollo3 in 0.406 seconds