Liquidity and Skewness Risk in Stock Market: Does Measurement of Liquidity Matter?

• 영문명: Liquidity and Skewness Risk in Stock Market: Does Measurement of Liquidity Matter?
• 발행기관: 한국유통과학회
• 저자명: Massaporn CHEUATHONGHUA Woraphon WATTANATORN Sarayut NATHAPHAN
• 간행물 정보: 『유통과학연구(JDS)』제20권 제12호, 81~87쪽, 전체 7쪽
• 주제분류: 경제경영 > 경제학
• 파일형태: PDF
• 발행일자: 2022.12.31

영문 초록

Purpose: This study aims to explore the relationship between stock liquidity and skewness risk—tail risk (stock price crash risk) in an emerging market, in which problems on liquidity are more severe than in developed markets. Research design, data, and methodology: Based on the Thai market stock exchange over the period of 2000 to 2019, our sample include 13,462 firm-period observations. We employ a panel regression models regarding to five liquidity measures. These five liquidity measures cover three dimensions of liquidity namely the volume-based, price-based, and transaction cost-based measures for the liquidity-tail risk relationship. Results: We find a positively significant relationship between stock liquidity and tail risk in all cases. The finding here shows that the higher the stock liquidity, the larger the tail risk is. Conclusion: As the prior studies show inconclusive effect of stock liquidity on stock price crash risk, we demonstrate that mixed results found in prior studies are probably driven from the type of liquidity measure. The stock liquidity-tail risk association is present in the Stock Exchange of Thailand. The results remain the same regardless of the definition of tail risk and liquidity factors. An endogeneity issue is addressed by employing the two-stage least squares regression.

목차

1. Introduction

2. Literature Review

3. Research Methods

4. Results and Discussion

5. Conclusion

References

키워드

Stock Price Crash Risk Liquidity Measure Emerging Market Non-Normal Distribution Skewness Risk Tail Risk