We examine the distribution characteristics of stock market liquidity by employing the generalized additive models for location, scale and shape (GAMLSS) model and three-minute frequency data from Chinese stock markets. We find that the BCPE distribution within the GAMLSS framework fits the...

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...