Narayan, Paresh Kumar; Zhang, Zhichao; Zheng, Xinwei - Deakin University, Faculty of Business and Law, School … - 2010
In this paper, we examine four specific hypotheses relating to commonality in liquidity on the Chinese stock markets. These hypotheses are: (a) that market-wide liquidity determines liquidity of individual stocks; (b) that liquidity varies with firm size; (c) that sectoral-based liquidity affects...