中国A股市场流动性冲击与股票回报率关系研究

doi:10.16381/j.cnki.issn1003-207x.2021.0447

Abstract

Abstract: Previous studies have shown that liquidity is an important pricing factor in stock market. Since there exists substantial time-series variation in stock liquidity, the change of liquidity (i.e., liquidity shock) could also have impact on stock return. Because of market friction, the information contained in the change of liquidity may not be fully reflected in the contemporaneous stock return in the first time. Therefore, it is interesting to examine whether liquidity shock can predict stock return in Chinese A-share market.

Key words: market liquidity; short-term return reversal effect; price-change-adjusted liquidity shock; stock expected return; market pricing efficiency

CLC Number:

F830.91

KANG Wen-jin, ZHANG Kang. A Study on the Relationship between Liquidity Shock and Stock Return in Chinese A-Share Market[J]. Chinese Journal of Management Science, 2023, 31(7): 68-77.

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A Study on the Relationship between Liquidity Shock and Stock Return in Chinese A-Share Market

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