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The determinants of liquidity with G-RJMCMC-VS model: Evidence from China

  • Chen, Langnan
  • Luo, Jiawen
  • Liu, Hao
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    This paper investigates the determinants of liquidity by utilizing the Graphical Reversible-Jump-MCMC algorithm (G-RJMCMC-VS) of Lunn et al. (2009) and employing the data of individual stocks sorted by scale from Shanghai Stock Exchange and Shenzhen Stock Exchange in China. The empirical results show that daily average intraday prices and institutional holding proportion are the two most important determinants of liquidity while short-selling facilitates the liquidity of middle-scale stocks.

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    File URL: http://www.sciencedirect.com/science/article/pii/S0264999313002381
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    Article provided by Elsevier in its journal Economic Modelling.

    Volume (Year): 35 (2013)
    Issue (Month): C ()
    Pages: 192-198

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    Handle: RePEc:eee:ecmode:v:35:y:2013:i:c:p:192-198
    Contact details of provider: Web page: http://www.elsevier.com/locate/inca/30411

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