Investor Protection and Value Impact of Stock Liquidity

Journal of International Business Studies, Forthcoming

44 Pages Posted: 16 Feb 2014 Last revised: 19 Oct 2018

See all articles by Tao Huang

Tao Huang

Beijing Normal University-Hong Kong Baptist University United International College

Fei Wu

Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF)

Jing Yu

The University of Sydney; Financial Research Network (FIRN)

Bohui Zhang

The Chinese University of Hong Kong, Shenzhen

Date Written: August 1, 2018

Abstract

This paper investigates the effect of investor protection on the value impact of stock liquidity. Using a sample of rms from 40 countries for the period between 1996 and 2010, we show that investor protection is positively associated with the value impact of stock liquidity. This association is robust to the difference-in-differences approach based on a natural experiment. Further evidence shows that the positive effect of home country investor protection the liquidity-valuation association attenuates in countries with globally integrated capital markets.

Keywords: Firm Value, Stock Liquidity, Investor Protection

JEL Classification: G10, G14, G15

Suggested Citation

Huang, Tao and Wu, Fei and Yu, Jing and Zhang, Bohui, Investor Protection and Value Impact of Stock Liquidity (August 1, 2018). Journal of International Business Studies, Forthcoming, Available at SSRN: https://ssrn.com/abstract=2395636 or http://dx.doi.org/10.2139/ssrn.2395636

Tao Huang (Contact Author)

Beijing Normal University-Hong Kong Baptist University United International College ( email )

2000 Jintong Road
Zhuhai, Guangdong 519087
China

Fei Wu

Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF) ( email )

Shanghai Jiao Tong University
211 West Huaihai Road
Shanghai, 200030
China

Jing Yu

The University of Sydney ( email )

University of Sydney
Sydney, NSW 2006
Australia

Financial Research Network (FIRN)

C/- University of Queensland Business School
St Lucia, 4071 Brisbane
Queensland
Australia

HOME PAGE: http://www.firn.org.au

Bohui Zhang

The Chinese University of Hong Kong, Shenzhen ( email )

Here is the Coronavirus
related research on SSRN

Paper statistics

Downloads
299
Abstract Views
1,993
rank
111,125
PlumX Metrics