Commonality in Liquidity: Evidence from Emerging Asian Actively-Managed Equity Funds

IF 0.7 Q4 BUSINESS, FINANCE

Asian Academy of Management Journal of Accounting and Finance Pub Date : 2023-11-30 DOI:10.21315/aamjaf2023.19.2.8

Suresh Kumar, Eliza Nor, Nik Hadiyan Nik Azman, Hyder Ali

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Abstract

In this study, a set of common factors of liquidity that had previously been recorded at the equity security level is examined for its effect on inter and intra-market liquidity variations in equity funds in emerging Asian markets. Cross-market liquidity co-movement between the fund’s portfolio and the market portfolio, which typically measures systematic liquidity risk and market integration, is the liquidity commonality for mutual funds. This research builds on Wang Jianxin’s study in 2013 by including market liquidity, return and volatility as common factors of liquidity, and the partial R2 of the common factors reveals each factor’s contribution. We find that emerging Asian countries share 24.14% of the intra-market liquidity commonality between funds and equity markets, and market liquidity is tied to such relationship. Emerging Asian region share 2.76% of inter-market liquidity commonality and regional market return and volatility majorly contribute to this liquidity commonality. The significance of domestic financial markets is evidenced by the wide disparity in liquidity commonality between domestic and regional markets.

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流动性的共性：新兴亚洲主动管理股票基金的证据

在本研究中，我们研究了之前在股票证券层面记录的一组流动性共同因素，以了解其对亚洲新兴市场股票基金的市场间和市场内流动性变化的影响。基金投资组合与市场投资组合之间的跨市场流动性共同变动通常衡量系统性流动性风险和市场整合，是共同基金的流动性共性。本研究在王建新 2013 年研究的基础上，将市场流动性、收益率和波动率作为流动性的共同因子，并通过共同因子的偏 R2 揭示了各因子的贡献。我们发现，亚洲新兴国家在基金与股票市场之间的市场内流动性共性中占 24.14%，市场流动性与这种关系息息相关。新兴亚洲地区在市场间流动性共性中占 2.76%，而区域市场回报率和波动性是流动性共性的主要因素。国内金融市场的重要性体现在国内市场与区域市场之间流动性共通性的巨大差异上。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Asian Academy of Management Journal of Accounting and Finance BUSINESS, FINANCE-

CiteScore

1.50

自引率

0.00%

发文量

审稿时长

20 weeks

期刊介绍： To provide a forum for the exchange of ideas and dissemination of empirical findings and analytical research in the specialized areas of accounting and finance with special emphasis on scholarly works with policy implications for countries in the Asia Pacific. The following are some of the topical subject areas relevant to the journal (but are not limited to): Accounting • Financial reporting and accounting standards • Auditing issues • Value based accounting and its relevance • Theory of accounting firm • Environmental auditing • Corporate governance issues • Public sector accounting Finance • Valuation of financial assets • International capital flows • Ownership and agency theory • Stock market behavior • Investment and portfolio management • Islamic banking and finance • Microstructures of financial markets

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