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This paper examines the role of illiquidity and duration factor in understanding the momentum profit in the Korean stock market. We find that the foreigner/institutional illiquidity factor explains the momentum effect. In addition, this paper finds that duration factor defined as the difference...
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This paper attempts to capture the relationship between stock market movements and its endogenous liquidity measures … resiliency dimensions of market liquidity using suitable liquidity measures (proxies). Findings suggest that multidimensional … liquidity measures like the volume of trade, spread, market efficiency coefficient, turnover rate, trading probability, and the …
Persistent link: https://www.econbiz.de/10012023365
Liquidity commonality and the co-movements in trading costs related to such commonality have remarkable implications in … evidence regarding the inventory risks and asymmetric information in uencing individual securities’ liquidity. Thus, this study … aims at documenting the liquidity commonality and measuring its extent in the Indian stock market. Employing fourteen …
Persistent link: https://www.econbiz.de/10012193362
This study investigates the nexus of stock liquidity and trade-credit policies in China from 2002 to 2017. The … liquidity significantly impacts firms' capacity to produce more trade credit supplies and less reliant on trade credit demand … liquidity and trade credit strategies is substantial in state-owned enterprises. Additional analysis revealed that the said …
Persistent link: https://www.econbiz.de/10013258463
measures on the stock returns and liquidity of Vietnam-listed companies in the financial services sector. Design … significant negative effects on the stock market returns and liquidity. Nevertheless, the Government’s imposition of lockdown … the stock returns and liquidity of Vietnam-listed companies in the financial services industry. …
Persistent link: https://www.econbiz.de/10012695222
funding liquidity, stock returns and COVID-19 pandemic is examined using the fixed effects model. Results show that funding … liquidity and the COVID-19 pandemic interacts positively with stock market returns. The findings were irrational to the … the negative impact of the witnessed spike in COVID-19 cases. The revelation that funding liquidity contrary to theory …
Persistent link: https://www.econbiz.de/10013169366
factor premiums are present after accounting for liquidity constraints. Fourth, we check whether the factor premiums are …, but they disappear after accounting for transaction costs and liquidity. …
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