时变的非流动性对印度股市有影响吗?高频数据证据

IF 2 4区管理学 Q3 BUSINESS

Australian Journal of Management Pub Date : 2021-05-12 DOI:10.1177/03128962211010243

Mousumi Bhattacharya, Sharad Nath Bhattacharya, Sumit Kumar Jha

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引用次数: 1

摘要

本文考察了印度股票市场的非流动性变化，使用日内数据。面板回归揭示了普遍的周、月、假日效应在各行业的非流动性，特别是在外生冲击期间。第二和第三季度的非流动性波动较大。大多数非流动性股票的排名各不相同，这取决于非流动性是使用调整后的还是未调整的Amihud指标来衡量的。使用混合分位数回归，我们注意到，在存在未平仓和波动性的上下市场条件下，非流动性在解释股票回报方面起着重要的不对称作用。在回报率极高和极低的时期，非流动性的影响更为严重。JEL分类:G10, G12

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Does time-varying illiquidity matter for the Indian stock market? Evidence from high-frequency data

This article examines variations in illiquidity in the Indian stock market, using intraday data. Panel regression reveals prevalent day-of-the-week, month, and holiday effects in illiquidity across industries, especially during exogenous shock periods. Illiquidity fluctuations are higher during the second and third quarters. The ranking of most illiquid stocks varies, depending on whether illiquidity is measured using an adjusted or unadjusted Amihud measure. Using pooled quantile regression, we note that illiquidity plays an important asymmetric role in explaining stock returns under up- and down-market conditions in the presence of open interest and volatility. The impact of illiquidity is more severe during periods of extreme high and low returns. JEL Classification: G10, G12

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来源期刊

Australian Journal of Management Multiple-

CiteScore

10.60

自引率

4.20%

发文量

期刊介绍： The objectives of the Australian Journal of Management are to encourage and publish research in the field of management. The terms management and research are both broadly defined. The former includes the management of firms, groups, industries, regulatory bodies, government, and other institutions. The latter encompasses both discipline- and problem-based research. Consistent with the policy, the Australian Journal of Management publishes research in accounting, applied economics, finance, industrial relations, political science, psychology, statistics, and other disciplines, provided the application is to management, as well as research in areas such as marketing, corporate strategy, operations management, organisation development, decision analysis, and other problem-focuses paradigms.