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

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  • Chen, Langnan
  • Luo, Jiawen
  • Liu, Hao

Abstract

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.

Suggested Citation

  • Chen, Langnan & Luo, Jiawen & Liu, Hao, 2013. "The determinants of liquidity with G-RJMCMC-VS model: Evidence from China," Economic Modelling, Elsevier, vol. 35(C), pages 192-198.
  • Handle: RePEc:eee:ecmode:v:35:y:2013:i:c:p:192-198
    DOI: 10.1016/j.econmod.2013.06.020
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    References listed on IDEAS

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    More about this item

    Keywords

    Liquidity; Determinants; G-RJMCMC-VS model;

    JEL classification:

    • G19 - Financial Economics - - General Financial Markets - - - Other

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