Showing 1 - 5 of 5
We develop the principal component analysis (PCA) approach to systematic liquidity measurement by introducing moving and expanding estimation windows. We evaluate these methods along with traditional estimation techniques (full sample PCA and market average) in terms of ability to explain (1)...
Persistent link: https://www.econbiz.de/10013159434
Persistent link: https://www.econbiz.de/10012000982
The Chinese government has implemented the Qualified Foreign Institutional Investor (QFII) system in order to promote stock market liquidity by participation of foreign institutional investors. This paper is the first to explicitly identify the channels through which foreign institutional...
Persistent link: https://www.econbiz.de/10010667917
Persistent link: https://www.econbiz.de/10010246984
Persistent link: https://www.econbiz.de/10011656875