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

International Business School Suzhou, Xi’an Jiaotong Liverpool University

Fei Wu

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

Jing Yu

The University of Western Australia - Department of Accounting and Finance

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)

International Business School Suzhou, Xi’an Jiaotong Liverpool University ( email )

111 Renai Rd.
Suzhou Industrial Park
Suzhou, Jiangsu 215123
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 Western Australia - Department of Accounting and Finance ( email )

School of Business
35 Stirling Highway
Crawley, Western Australia 6009
Australia

Bohui Zhang

The Chinese University of Hong Kong, Shenzhen ( email )

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