Unlocking the true price impact: Intraday liquidity and expected return in China’s stock market

IF 5.3 2区经济学 Q1 BUSINESS, FINANCE

Pacific-Basin Finance Journal Pub Date : 2025-09-23 DOI:10.1016/j.pacfin.2025.102939

Hang Cheng , Yongdong Shi , Tong Zhang

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引用次数: 0

Abstract

We propose a new framework for pricing illiquidity risk in China’s stock market. Grounded in market microstructure and behavioral finance theory, our time-weighted intraday Amihud (

T I A M

) measure isolates true trading-driven price impact and empirically outperforms traditional daily proxies. A rigorous dissection of the

T I A M

premium reveals that its characteristics of long-horizon persistence and strong countercyclicality are consistent with compensation for systematic risk, not transient mispricing. We distill this premium into a size-neutral Intraday Illiquidity Factor (

I M L

) that earns a significant alpha against established asset pricing models. We demonstrate that our friction-based illiquidity factor provides a powerful, risk-based explanation for a substantial portion of the size and sentiment anomalies, reframing them as manifestations of a more fundamental, structural risk. Our findings establish intraday illiquidity as a distinct dimension of priced risk, crucial for understanding the asset pricing dynamics of emerging markets.

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释放真正的价格影响：中国股市的盘中流动性和预期回报

本文提出了一个新的中国股票市场非流动性风险定价框架。基于市场微观结构和行为金融理论，我们的时间加权日内Amihud （TIAM）指标隔离了真正的交易驱动价格影响，并且在经验上优于传统的每日代理。对TIAM溢价的严格剖析表明，其长期持久性和强反周期性的特征与对系统性风险的补偿一致，而不是短暂的错误定价。我们将这一溢价提取为规模中性的日内非流动性因子（IML），该因子相对于已建立的资产定价模型获得了显著的α。我们证明，基于摩擦的非流动性因素为很大一部分规模和情绪异常提供了强有力的、基于风险的解释，将它们重新定义为更基本的结构性风险的表现。我们的研究结果将日内非流动性确立为定价风险的一个独特维度，这对于理解新兴市场的资产定价动态至关重要。

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

Pacific-Basin Finance Journal BUSINESS, FINANCE-

CiteScore

6.80

自引率

6.50%

发文量

157

期刊介绍： The Pacific-Basin Finance Journal is aimed at providing a specialized forum for the publication of academic research on capital markets of the Asia-Pacific countries. Primary emphasis will be placed on the highest quality empirical and theoretical research in the following areas: • Market Micro-structure; • Investment and Portfolio Management; • Theories of Market Equilibrium; • Valuation of Financial and Real Assets; • Behavior of Asset Prices in Financial Sectors; • Normative Theory of Financial Management; • Capital Markets of Development; • Market Mechanisms.