Stock liquidity and ownership structure during and after the 2008 Global Financial Crisis: Empirical evidence from an emerging market
Tài liệu tham khảo
Acharya, 2005, Asset pricing with liquidity risk, J. Financ. Econ., 77, 375, 10.1016/j.jfineco.2004.06.007
Admati, 1988, A theory of intraday patterns: volume and price variability, Rev. Financ. Stud., 1, 3, 10.1093/rfs/1.1.3
Agarwal, 2007
Amihud, 2002, Illiquidity and stock returns: cross-section and time-series effects, J. Financ. Mark., 5, 31, 10.1016/S1386-4181(01)00024-6
Arellano, 1995, Another look at the instrumental variable estimation of error-components models, J. Econ., 68, 29, 10.1016/0304-4076(94)01642-D
Baker, 2000, The future of financial reporting in Europe: its role in corporate governance, Int. J. Account., 35, 173, 10.1016/S0020-7063(00)00044-3
Baur, 2013, The structure and degree of dependence: a quantile regression approach, J. Bank. Financ., 37, 786, 10.1016/j.jbankfin.2012.10.015
Becker-Blease, 2006, Stock liquidity and investment opportunities: evidence from index additions, Financ. Manag., 35, 35, 10.1111/j.1755-053X.2006.tb00146.x
Bekaert, 2007, Liquidity and expected returns: lessons from emerging markets, Rev. Financ. Stud., 20, 1783, 10.1093/rfs/hhm030
Bekaert, 2014, The global crisis and equity market contagion, J. Financ., 69, 2597, 10.1111/jofi.12203
Benston, 1974, Determinants of bid-asked spreads in the over-the-counter market, J. Financ. Econ., 1, 353, 10.1016/0304-405X(74)90014-2
Bharath, 2009, Does asymmetric information drive capital structure decisions?, Rev. Financ. Stud., 22, 3211, 10.1093/rfs/hhn076
Blundell, 1998, Initial conditions and moment restrictions in dynamic panel data models, J. Econ., 87, 115, 10.1016/S0304-4076(98)00009-8
Brennan, 1998, Alternative factor specifications, security characteristics, and the cross-section of expected stock returns, J. Financ. Econ., 49, 345, 10.1016/S0304-405X(98)00028-2
Brockman, 2009, Commonality in liquidity: a global perspective, J. Financ. Quant. Anal., 44, 851, 10.1017/S0022109009990123
Brunnermeier, 2009, Market liquidity and funding liquidity, Rev. Financ. Stud., 22, 2201, 10.1093/rfs/hhn098
Bushee, 2007, Which institutional investors trade based on private information about earnings and returns?, J. Account. Res., 45, 289, 10.1111/j.1475-679X.2007.00234.x
Calvo, 1999
Calvo, 1996
Cao, 2014, Liquidity risk and institutional ownership, J. Financ. Mark., 21, 76, 10.1016/j.finmar.2014.05.001
Chang, 2010, Informational efficiency and liquidity premium as the determinants of capital structure, J. Financ. Quant. Anal., 45, 401, 10.1017/S0022109010000098
Chiang, 1988, Insider holdings and perceptions of information asymmetry: a note, J. Financ., 43, 1041, 10.1111/j.1540-6261.1988.tb02622.x
Choe, 2005, Do domestic investors have an edge? The trading experience of foreign investors in Korea, Rev. Financ. Stud., 18, 795, 10.1093/rfs/hhi028
Choi, 2010, The impacts of state ownership on information asymmetry: evidence from an emerging market, Chin. J. Account. Res., 3, 13, 10.1016/S1755-3091(13)60018-0
Chordia, 2000, Commonality in liquidity, J. Financ. Econ., 56, 3, 10.1016/S0304-405X(99)00057-4
Chordia, 2001, Market liquidity and trading activity, J. Financ., 56, 501, 10.1111/0022-1082.00335
Christie, 1982, The stochastic behavior of common stock variances: value, leverage and interest rate effects, J. Financ. Econ., 10, 407, 10.1016/0304-405X(82)90018-6
Chung, 2014, A simple approximation of intraday spreads using daily data, J. Financ. Mark., 17, 94, 10.1016/j.finmar.2013.02.004
Cipriani, 2008, Transaction costs and informational cascades in financial markets, J. Econ. Behav. Organ., 68, 581, 10.1016/j.jebo.2008.08.001
Cipriani, 2013, Financial contagion in the laboratory: the cross-market rebalancing channel, J. Bank. Financ., 37, 4310, 10.1016/j.jbankfin.2013.06.005
Comerton-Forde, 2010, Time variation in liquidity: the role of market-maker inventories and revenues, J. Financ., 65, 295, 10.1111/j.1540-6261.2009.01530.x
Copeland, 1983, Information effects on the bid-ask spread, J. Financ., 38, 1457, 10.1111/j.1540-6261.1983.tb03834.x
Dennis
Diamond, 1991, Disclosure, liquidity, and the cost of capital, J. Financ., 46, 1325, 10.1111/j.1540-6261.1991.tb04620.x
Falkenstein, 1996, Preferences for stock characteristics as revealed by mutual fund portfolio holdings, J. Financ., 51, 111, 10.1111/j.1540-6261.1996.tb05204.x
Fernández-Amador, 2013, Does monetary policy determine stock market liquidity? New evidence from the euro zone, J. Empir. Financ., 21, 54, 10.1016/j.jempfin.2012.12.008
Filardo, 2010, The international financial crisis: timeline, impact and policy responses in Asia and the Pacific, 21
Frieder, 2006
Garleanu, 2007, Liquidity and risk management
Gompers, 2001, Institutional investors and equity prices, Q. J. Econ., 116, 229, 10.1162/003355301556392
Gopalan, 2012, Asset liquidity and stock liquidity, J. Financ. Quant. Anal., 47, 333, 10.1017/S0022109012000130
Goyenko, 2009, Do liquidity measures measure liquidity?, J. Financ. Econ., 92, 153, 10.1016/j.jfineco.2008.06.002
Grossman, 1980, On the impossibility of informationally efficient markets, Am. Econ. Rev., 70, 393
Guillén
Hameed, 2010, Stock market declines and liquidity, J. Financ., 65, 257, 10.1111/j.1540-6261.2009.01529.x
Hearn, 2013, Firm level governance and institutional determinants of liquidity: evidence from Sub Saharan Africa, Int. Rev. Financ. Anal., 28, 93, 10.1016/j.irfa.2013.02.004
Holden, 1992, Long-lived private information and imperfect competition, J. Financ., 47, 247, 10.1111/j.1540-6261.1992.tb03985.x
Jankowitsch, 2011, Price dispersion in OTC markets: a new measure of liquidity, J. Bank. Financ., 35, 343, 10.1016/j.jbankfin.2010.08.016
Kale, 2011, Product market power and stock market liquidity, J. Financ. Mark., 14, 376, 10.1016/j.finmar.2010.10.003
Kaminsky, 2000, On crises, contagion, and confusion, J. Int. Econ., 51, 145, 10.1016/S0022-1996(99)00040-9
King, 1990, Transmission of volatility between stock markets, Rev. Financ. Stud., 3, 5, 10.1093/rfs/3.1.5
Koch, 2016, Commonality in liquidity: a demand-side explanation, Rev. Financ. Stud., 29, 1943, 10.1093/rfs/hhw026
Kyle, 1985, Continuous auctions and insider trading, Econometrica, 53, 1315, 10.2307/1913210
Lesmond, 2005, Liquidity of emerging markets, J. Financ. Econ., 77, 411, 10.1016/j.jfineco.2004.01.005
Lesmond, 1999, A new estimate of transaction costs, Rev. Financ. Stud., 12, 1113, 10.1093/rfs/12.5.1113
Næs, 2011, Stock market liquidity and the business cycle, J. Financ., 66, 139, 10.1111/j.1540-6261.2010.01628.x
Ng, 2012
Peress, 2010, Product market competition, insider trading, and stock market efficiency, J. Financ., 65, 1, 10.1111/j.1540-6261.2009.01522.x
Perotti, 1995, Credible privatization, Am. Econ. Rev., 85, 847
Prommin, 2014, The effect of corporate governance on stock liquidity: the case of Thailand, Int. Rev. Econ. Financ., 32, 132, 10.1016/j.iref.2014.01.011
Qi, 2010
Rhee, 2009, Foreign institutional ownership and stock market liquidity: evidence from Indonesia, J. Bank. Financ., 33, 1312, 10.1016/j.jbankfin.2009.01.008
Roll, 1984, A simple implicit measure of the effective bid-ask spread in an efficient market, J. Financ., 39, 1127, 10.1111/j.1540-6261.1984.tb03897.x
Roodman, 2009, How to do xtabond2: an introduction to difference and system GMM in Stata, Stata J., 9, 86, 10.1177/1536867X0900900106
Rösch, 2013, Market liquidity in the financial crisis: the role of liquidity commonality and flight-to-quality, J. Bank. Financ., 37, 2284, 10.1016/j.jbankfin.2013.01.009
Rubin, 2007, Ownership level, ownership concentration and liquidity, J. Financ. Mark., 10, 219, 10.1016/j.finmar.2007.04.002
Sensoy, 2017, Firm size, ownership structure, and systematic liquidity risk: the case of an emerging market, J. Financ. Stab., 31, 62, 10.1016/j.jfs.2017.06.007
Stoll, 1983, Transaction costs and the small firm effect, J. Financ. Econ., 12, 57, 10.1016/0304-405X(83)90027-2
Stulz, 1999, International portfolio flows and security markets, 257
Vayanos, 2004, Flight to quality, flight to liquidity, and the pricing of risk
Vo, 2008, Managing capital flows: the case of Viet Nam
Wei, 2010
Wintoki, 2012, Endogeneity and the dynamics of internal corporate governance, J. Financ. Econ., 105, 581, 10.1016/j.jfineco.2012.03.005
Yeyati, 2008, Emerging market liquidity and crises, J. Eur. Econ. Assoc., 6, 668, 10.1162/JEEA.2008.6.2-3.668
Yuan, 2005, Asymmetric price movements and borrowing constraints: a rational expectations equilibrium model of crises, contagion, and confusion, J. Financ., 60, 379, 10.1111/j.1540-6261.2005.00733.x