This study examines the impact of stock splits on stock liquidity in Bursa Malaysia from 2004-2018. The study uses event study methodology and investigates liquidity changes, the role of liquidity, and the relationship between abnormal returns and liquidity as well. We found a significant...

This paper examines the dynamics of the liquidity premium in the Chinese stock market by adopting a multivariate decomposition approach to measure the individual contributions of various driving forces of the premium (such as firm size, idiosyncratic volatility, and market liquidity betas). By...

Preface -- Chapter 1: What Makes for an Effective Free Trade Agreement? Examination of Theory and Evidence -- Chapter 2: The Mode of Economic Cooperation in the “One Belt and One Road” Construction -- Chapter 3: Simulation on Trade Effects of CJK FTA and the Prospects of Negotiation --...

This paper examines the conditional time‐varying currency betas from five developed markets and four emerging markets. We employ a modified trivariate BEKK‐GARCH‐in‐mean model of Engle and Kroner (1995) to estimate the time‐varying conditional variance and covariance of returns of...

Administrative factors permeate the Chinese financial market. This study provides an insight into the emerging government-dominated IPO market. Using up-to-date data from 520 listed firms and 140 rejected IPO applicants in the Chinese stock market over 2006 to 2012, this study, based on prior...

This paper examines the dynamic relationship between firm-level return volatility and public news sentiment. By using the new RavenPack News Analytics – Dow Jones Edition database that captures over 1200 types of firm-specific and macroeconomic news releases and their sentiment scores at high...