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The relationship between bid-ask spreads and holding periods: The case of Chinese A and B shares

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  • Chung, Shifei
  • Wei, Peihwang

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  • Chung, Shifei & Wei, Peihwang, 2005. "The relationship between bid-ask spreads and holding periods: The case of Chinese A and B shares," Global Finance Journal, Elsevier, vol. 15(3), pages 239-249, February.
  • Handle: RePEc:eee:glofin:v:15:y:2005:i:3:p:239-249
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    References listed on IDEAS

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    1. Brennan, Michael J. & Subrahmanyam, Avanidhar, 1996. "Market microstructure and asset pricing: On the compensation for illiquidity in stock returns," Journal of Financial Economics, Elsevier, vol. 41(3), pages 441-464, July.
    2. Domowitz, Ian & Glen, Jack & Madhavan, Ananth, 1997. " Market Segmentation and Stock Prices: Evidence from an Emerging Market," Journal of Finance, American Finance Association, vol. 52(3), pages 1059-1085, July.
    3. Atkins, Allen B & Dyl, Edward A, 1997. " Transactions Costs and Holding Periods for Common Stocks," Journal of Finance, American Finance Association, vol. 52(1), pages 309-325, March.
    4. White, Halbert, 1980. "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity," Econometrica, Econometric Society, vol. 48(4), pages 817-838, May.
    5. French, Kenneth R. & Roll, Richard, 1986. "Stock return variances : The arrival of information and the reaction of traders," Journal of Financial Economics, Elsevier, vol. 17(1), pages 5-26, September.
    6. Zuobao Wei & Oscar Varela & Juliet D'Souza & M. Kabir Hassan, 2003. "The Financial and Operating Performance of China's Newly Privatized Firms," Financial Management, Financial Management Association, vol. 32(2), Summer.
    7. Su, Dongwei, 1999. "Ownership Restrictions and Stock Prices: Evidence from Chinese Markets," The Financial Review, Eastern Finance Association, vol. 34(2), pages 37-56, May.
    8. Ma, Xianghai, 1996. "Capital controls, market segmentation and stock prices: Evidence from the Chinese stock market," Pacific-Basin Finance Journal, Elsevier, pages 219-239.
    9. Eleswarapu, Venkat R. & Reinganum, Marc R., 1993. "The seasonal behavior of the liquidity premium in asset pricing," Journal of Financial Economics, Elsevier, vol. 34(3), pages 373-386, December.
    10. Jo, Hoje & Prinkerton, John M. & Sarin, Atulya, 1995. "Financing decisions and the investment opportunity set: Some evidence from Japan," Pacific-Basin Finance Journal, Elsevier, pages 140-141.
    11. Bailey, Warren & Jagtiani, Julapa, 1994. "Foreign ownership restrictions and stock prices in the Thai capital market," Journal of Financial Economics, Elsevier, vol. 36(1), pages 57-87, August.
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    Cited by:

    1. Muravyev, Alexander, 2009. "Investor Protection and the Value of Shares: Evidence from Statutory Rules Governing Variations of Shareholders' Class Rights in Russia," IZA Discussion Papers 4669, Institute for the Study of Labor (IZA).
    2. Ho, Tsung-wu & Chang, Shu-Hwa, 2015. "The pricing of liquidity risk on the Shanghai stock market," International Review of Economics & Finance, Elsevier, vol. 38(C), pages 112-130.
    3. Nguyen, Nhut H. & Lo, Ka Hei, 2013. "Asset returns and liquidity effects: Evidence from a developed but small market," Pacific-Basin Finance Journal, Elsevier, pages 1175-1190.
    4. Odegaard, Bernt Arne, 2007. "Price differences between equity classes. Corporate control, foreign ownership or liquidity?," Journal of Banking & Finance, Elsevier, vol. 31(12), pages 3621-3645, December.
    5. Berezinets Irina & Ilina Yulia & Muravyev Alexander, 2011. "Owners, Boards, Managers and the Private Benefits of Control: A Study of Dual Class Stock Firms in an Emerging Market," EERC Working Paper Series 11/12e, EERC Research Network, Russia and CIS.
    6. Zhang, Tai-Wei & Chueh, Horace & Hsu, Yao Hua, 2015. "Day-of-the-week trading patterns of informed and uninformed traders in Taiwan's foreign exchange market," Economic Modelling, Elsevier, vol. 47(C), pages 271-279.

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