Earticle

초록

영어

We study the relation between the illiquidity premium and economic states in the Korean stock market. We find that aggregate market liquidity improves following real economic expansions and expansive monetary states and worsens after economic recessions and restrictive monetary states. The improved liquidity in the expansion/expansive state generates a huge illiquidity premium, while an illiquidity premium does not exist in the recession/restrictive state. As a result, the observed illiquidity premium displays strong state-dependent variations. Our empirical results indicate that a significant unconditional illiquidity premium in the Korean stock market arises due to an astonishing illiquidity premium in the expansion/expansive state.

목차

Abstract
 1 Introduction
 2 Related Literature
 3 Data and Variables
  3.1 Liquidity measures
  3.2 Defining the state of the economy
 4 Market Illiquidity and Economic States
 5 The Illiquidity Premium and Economic States
  5.1 The unconditional illiquidity premium
  5.2 The illiquidity premium across economic states
  5.3 The risk-adjusted illiquidity premium across economic states
  5.4 The illiquidity premium during pre-crisis and post-crisis periods
 6 Conclusion
 References
 Table
 Figure

키워드

저자

• Jeewon Jang [ College of Business, Korea Advanced Institute of Science and Technology, Seoul, Korea ]
• Jangkoo Kang [ Graduate School of Finance & Accounting, College of Business, Korea Advanced Institute of Science and Technology, Seoul, Korea ]
• Changjun Lee [ College of Business Administration, Hankuk University of Foreign Studies ] Corresponding author

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  한국재무학회 학술대회

• 간기

  부정기

• 수록기간

  2006~2024

• 십진분류

  KDC 325 DDC 330