Earticle

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In this paper, we investigate the empirical relation between macro-level of institutional quality and market liquidity for non-US stocks. We find that non-US stocks from countries with better macro-level of institutional quality such as financial, political, economic, and exchange rate stability, and better country rating exhibit better liquidity in form of narrower quoted and effective spreads, higher market quality indexes, and lower adverse selection costs. In addition, we find that non-US stocks from countries with a better macro-level of institutional quality and greater number of overlapping trading hours tend to be significantly more liquid compared to stocks from countries with lower ratings or greater number of non-overlapping trading hours. Therefore, improving a country’s image (macro-level of institutional quality) helps to improve market liquidity for non-US stocks.

목차

Abstract
 I. Introduction
 II. Variable Measurement, Data Sources, and Sample Selection
  A. Country Rating Data
  B. Sample Selection and Liquidity Measures
 III. Empirical Results
  A. Descriptive Statistics
  B. Correlation Matrix
  C. Ratings, Liquidity, and Adverse Selection Costs
  D. Interactions Between Ratings and Number of Overlapping Trading Hours
 IV. Summary and concluding remarks
 Appendix
 References

키워드

저자

• Pankaj K. Jain [ Fogelman College of Business and Economics University of Memphis Memphis, TN 38152-3120 ]
• Jang-Chul Kim [ Haile/US Bank College of Business Northern Kentucky University Highland Heights, KY 41099 ]
• Young Sang Kim [ Haile/US Bank College of Business Northern Kentucky University Highland Heights, KY 41099 ]

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• 간행물명

  한국재무학회 학술대회

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• 수록기간

  2006~2024

• 십진분류

  KDC 325 DDC 330