What is the best composite liquidity proxy for explaining stock returns? Evidence from the Chinese stock market

被引：0
|
作者：
Yu, Bo [1 ]
Dong, Liang [2 ]
Qin, Zhenjiang [3 ]
Lam, Keith S. K. [3 ]
机构：
[1] City Univ Macau, Fac Finance, Av Padre Tomas Pereira, Taipa, Macau, Peoples R China
[2] Hunan Univ Technol & Business, Sch Finance, 569 Yuelu Ave, Changsha, Peoples R China
[3] Univ Macau, Fac Business Adm, Dept Finance & Business Econ, Ave Univ, Taipa, Macao, Peoples R China
来源：
PACIFIC-BASIN FINANCE JOURNAL | 2025年 / 91卷
基金：
国家教育部科学基金资助;
关键词：
Composite liquidity proxy; Combining method; Horserace tests; Stock return; Chinese stock market; CROSS-SECTION; ILLIQUIDITY;
D O I：
10.1016/j.pacfin.2025.102686
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
Accurate measurement of multidimensional liquidity is crucial for effective asset pricing and risk management. We construct 126 multidimensional composite liquidity proxies by using different combinations of individual single-dimensional liquidity proxies and different proxy combining methods. We propose an approach to select the optimal composite liquidity proxy, with both characteristic-level horseraces and systematic-factor-level comparisons among the competing composite proxies. Our results suggest that the Asymptotic Principal Component (APC) method is the suitable combining method, and the Amihud-HL-FHT proxy is the optimal multidimensional liquidity proxy for explaining stock returns in the Chinese stock market. These results remain robust when compared with nested composite proxies, adjusting the significance thresholds, extending the sample period, and using alternative comparison measures.
引用
收藏
页数：17
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