Please use this identifier to cite or link to this item: https://hdl.handle.net/10356/50845
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dc.contributor.authorLam, Pei Xin
dc.contributor.authorLim, Yi Fong
dc.contributor.authorOng, Xin Yuan
dc.date.accessioned2012-11-21T08:17:09Z
dc.date.available2012-11-21T08:17:09Z
dc.date.copyright2012en_US
dc.date.issued2012
dc.identifier.urihttp://hdl.handle.net/10356/50845
dc.description.abstractWe study how liquidity affects the cross-section of stock returns in China stock markets. Using the illiquidity measure of Amihud (2002), we document that stock returns are positively correlated with the lagged illiquidity, and negatively correlated with the contemporaneous illiquidity. When the stocks are sorted according to market types, we find that the impact of illiquidity on stock returns is most pronounced for the Growth Enterprise Market (GEM), followed by A-shares then, B-shares markets. Our results are qualitatively the same when stock turnover is used as an alternative measure of liquidity.en_US
dc.format.extent42 p.en_US
dc.language.isoenen_US
dc.rightsNanyang Technological University
dc.subjectDRNTU::Business::Finance::Capital marketen_US
dc.subjectDRNTU::Business::Finance::Equityen_US
dc.titleLiquidity and stock returns : empirical evidence in Chinaen_US
dc.typeFinal Year Project (FYP)en_US
dc.contributor.supervisorChang Xinen_US
dc.contributor.schoolCollege of Business (Nanyang Business School)en_US
dc.description.degreeBUSINESSen_US
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Appears in Collections:NBS Student Reports (FYP/IA/PA/PI)
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