llliquidity premium in chinese stock market
To explain the phenomena of illiquidity premium in Chinese stock market,a GARCH-M model after liquidity adjustment for the return and risk series and two hypotheses about the illiquidity premium was established.Empirical evidence showed that the hypotheses are reasonable,i.e.expected market illiquidity positively affects ex ante stock excess return,suggesting that expected stock excess return partly represents an illiquidity premium,also,stock return are negatively related to contemporaneous unexpected illiquidity.
illiquidity premium GARCH-M model Shanghai Stock Market
Zhao-hui LIANG
College of economic,Tianjin Polytechnic University
国际会议
长沙
英文
444-448
2008-10-28（万方平台首次上网日期，不代表论文的发表时间）