Market illiquidity and market excess return: Cross-section and time-series effects: A study of the Shanghai stock exchange
Independent thesis Advanced level (degree of Master (Two Years)), 20 credits / 30 HE creditsStudent thesis
The purpose of the current paper is to explore the cross-sectional relationship between market illiquidity and market excess return on stocks traded in the Shanghai Stock Exchange(SSE)over-time; using data from monthly and yearly databases of CSMAR(China Securities Market and Accounting Research) and statistics annual Shanghai Stock Exchange from 2001.1-2012.12.
We believe that the empirical tests on the stocks traded in the New York Stock Exchange (NYSE) of the well-established paper by Amihud(2002)would be potentially useful to be tested in a different setting, the SSE; in doing so, we apply the same illiquidity measure and estimating models to examine the hypotheses of the current study. In consideration of the aim of the current study, an illiquidity measure proposed by a Chinese scholar Huang (2009)is also applied in the empirical tests.
Due to that Chinese stock market is still young and under development, any outcomes from the current study that are dissimilar to the ones appeared in Amihud(2002) in the sense of the effectiveness of market illiquidity have nothing to do with the utility of illiquidity theory; rather, different market characteristics should be taken into account, such as the unpredictability of frequent policy interventions on a Chinese stock market, following Wang Fang, Han Dong and Jiang Xianglin (2002).
Place, publisher, year, edition, pages
2013. , 54 p.
Probability Theory and Statistics
IdentifiersURN: urn:nbn:se:mdh:diva-24614OAI: oai:DiVA.org:mdh-24614DiVA: diva2:704213
Subject / course
2013-11-29, U2-158, Mälardalen University, Västerås, 18:00 (English)
Pettersson, Lars, Consulting Senior LecturerMalyarenko, Anatoliy, Professor
Silvestrov, Sergei, Professor