https://scholars.lib.ntu.edu.tw/handle/123456789/414635
標題: | The impact of short-sales constraints on liquidity and the liquidity-return relations | 作者: | WEN-I CHUANG Lee, Hsiu Chuan |
關鍵字: | Commonality | G10 | G12 | Liquidity | Sentiment indicator | Short-sales constraints | 公開日期: | 1-十一月-2010 | 出版社: | ELSEVIER SCIENCE BV | 卷: | 18 | 期: | 5 | 起(迄)頁: | 521 | 來源出版物: | Pacific Basin Finance Journal | 摘要: | Baker and Stein's (2004) model predicts that individual stock liquidity, commonality in liquidity across stocks, the contemporaneous correlation between stock returns and liquidity, and the degree of high liquidity associated with low subsequent stock returns decrease in the absence of short-sales constraints relative to in the presence. To test these theoretical predictions, we examine both the component stocks of the Taiwan 50 index and other nonindex stocks for the sample period before and after the removal of short-sales constraints on the former and use trading turnover and Amihud's (2002) illiquidity ratio as the measure of liquidity to proxy for investor sentiment. Overall, our empirical results are consistent with these theoretical predictions and therefore provide evidence in support of Baker and Stein's (2004) model. © 2010. |
URI: | https://scholars.lib.ntu.edu.tw/handle/123456789/414635 | ISSN: | 0927538X | DOI: | https://api.elsevier.com/content/abstract/scopus_id/77956342656 10.1016/j.pacfin.2010.07.003 |
顯示於: | 財務金融學系 |
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