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Revisiting the Impact of Stock Market Liquidity on Bank Liquidity Creation: Evidence from Malaysia
Emerging markets finance & trade, 2018This article examines the impact of stock market liquidity on bank liquidity creation in Malaysia. Our results indicate that a stock market enhances the liquidity creation of banks both on and off the banks’ balance sheets when the market liquidity ...
Moau Yong Toh, C. Gan, Zhaohua Li
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Local Equity Market Participation and Stock Liquidity
SSRN Electronic Journal, 2010This paper investigates the relationship between local equity market participation and stock liquidity to understand how the trading by local retail investors affects stock liquidity. Given that there are striking racial differences in risky asset holdings and large cross-sectional racial variations across U.S.
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Pricing Liquidity in the Stock Market
2020In this study, we aim to test the pricing power of market liquidity in the cross-section of US stock returns. We examine three liquidity measures: Pastor and Stambaugh (2003)’s liquidity factor, Bali et al. (2014)’s liquidity shocks, and Dreshsler, Savov, and Schanbl (2017)’s money market liquidity premium.
Ding Du, Ou Hu
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Corporate ESG rating and stock market liquidity: Evidence from China
Economic Modelling, 2023Feng He, Yaqian Feng, Jing Hao
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Environment, Development and Sustainability, 2022
Shuhong Wang, Xiaojing Yi, M. Song
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Shuhong Wang, Xiaojing Yi, M. Song
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Risk perceptions and international stock market liquidity
Journal of international financial markets, institutions, and money, 2016We show, using data for 57 countries over the 1990–2015 period, that investors’ risk perceptions are an important determinant of international stock market liquidity.
Rui Ma +2 more
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Distribution characteristics of stock market liquidity
Physica A: Statistical Mechanics and its Applications, 2013Abstract We examine the distribution characteristics of stock market liquidity by employing the generalized additive models for location, scale and shape (GAMLSS) model and three-minute frequency data from Chinese stock markets. We find that the BCPE distribution within the GAMLSS framework fits the distributions of stock market liquidity well with ...
Jiawen Luo, Langnan Chen, Hao Liu
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Stock Market Liquidity and Innovation Activity
SSRN Electronic Journal, 2013This paper investigates the effects of aggregate stock market liquidity on innovation at both aggregate and firm levels for publicly traded firms in the U.S. I show that both effects are significantly positive. Next, I provide two underlying mechanisms through which aggregate stock liquidity enhances innovation.
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Corporate Governance and Stock Market Liquidity
Journal of Commerce and Accounting Research, 2016Corporate governance has an impact on both quantity and quality of corporate information disclosure which affects the level of information asymmetry and thus impacts the changes in market liquidity of stock. This article attempts to discern the relationship between corporate governance and the stock market liquidity of Indian manufacturing companies ...
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An examination of the effect of stock market liquidity on bank market power
, 2021Ama Samarasinghe, Katherine Uylangco
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