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

Langnan Chen, Jiawen Luo and Hao Liu

Economic Modelling, 2013, vol. 35, issue C, 192-198

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.

Keywords: Liquidity; Determinants; G-RJMCMC-VS model (search for similar items in EconPapers)
JEL-codes: G19 (search for similar items in EconPapers)
Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:35:y:2013:i:c:p:192-198

DOI: 10.1016/j.econmod.2013.06.020

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