The University of Southampton
×
Filter your search:
University of Southampton Institutional Repository

Regulatory changes and market liquidity in Chinese stock markets

Regulatory changes and market liquidity in Chinese stock markets
Regulatory changes and market liquidity in Chinese stock markets
Our study measures the impact of institutional reforms in China on market liquidity. Using monthly data on turnover ratios, turnover–volatility ratios and stock returns for the Shanghai and Shenzhen Stock Exchange and applying an intervention model, we detect a considerable impact of regulatory changes on liquidity. Motivated by the inventory paradigm and the disposition effect, our empirical model accounts for market returns and macroeconomic shocks. The ban of futures trading reduced market liquidity; however, lower commissions enhanced trading. Market reforms were favorable for the development of financial markets—but these effects were not long lasting
1566-0141
162-175
Kling, Gerhard
feea1f9e-c49a-4d9c-b688-ec839cef9624
Gao, Lei
885f6f80-3796-4bdb-b75d-7c8905b6b5de
Kling, Gerhard
feea1f9e-c49a-4d9c-b688-ec839cef9624
Gao, Lei
885f6f80-3796-4bdb-b75d-7c8905b6b5de

Kling, Gerhard and Gao, Lei (2006) Regulatory changes and market liquidity in Chinese stock markets. Emerging Markets Review, 7 (2), 162-175. (doi:10.1016/j.ememar.2005.11.001).

Record type: Article

Abstract

Our study measures the impact of institutional reforms in China on market liquidity. Using monthly data on turnover ratios, turnover–volatility ratios and stock returns for the Shanghai and Shenzhen Stock Exchange and applying an intervention model, we detect a considerable impact of regulatory changes on liquidity. Motivated by the inventory paradigm and the disposition effect, our empirical model accounts for market returns and macroeconomic shocks. The ban of futures trading reduced market liquidity; however, lower commissions enhanced trading. Market reforms were favorable for the development of financial markets—but these effects were not long lasting

Text
Liquidity.doc - Author's Original
Download (1MB)

More information

Published date: June 2006
Learn more about Management research

Identifiers

Local EPrints ID: 165729
URI: http://eprints.soton.ac.uk/id/eprint/165729
DOI: doi:10.1016/j.ememar.2005.11.001
ISSN: 1566-0141
PURE UUID: 92cbd4db-1c49-4cd1-9fc7-6dc269ad86c1

Catalogue record

Date deposited: 19 Oct 2010 14:18
Last modified: 14 Mar 2024 02:11

Export record

Altmetrics

Contributors

Author: Gerhard Kling
Author: Lei Gao

Download statistics

Downloads from ePrints over the past year. Other digital versions may also be available to download e.g. from the publisher's website.

View more statistics

Library staff additional information
Atom RSS 1.0 RSS 2.0

Contact ePrints Soton: eprints@soton.ac.uk

ePrints Soton supports OAI 2.0 with a base URL of http://eprints.soton.ac.uk/cgi/oai2

This repository has been built using EPrints software, developed at the University of Southampton, but available to everyone to use.

We use cookies to ensure that we give you the best experience on our website. If you continue without changing your settings, we will assume that you are happy to receive cookies on the University of Southampton website.

×