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采用公认的法国法玛的三因子模型，本研究旨在探讨股票流动性与期望收益之间的关系，通过采用营业额交易频率合适的代理对更大的中国股票市场的影响关系的实证研究。By employing the well accepted Fama-French three factor framework, https://www.51lunwen.org/jrfx/ the study aims to explore the empirical relationship between the effects of liquidity and expected stock returns on Greater China stock market while adopting turnover as the appropriate proxy of trading frequency.

Research Questions研究的问题

The paper is going to answer the question like: what is the relationship between the liquidity and stock return in Greater China Region Market: China Mainland stock exchange (Shanghai A share and ShenZhen Index), Hong Kong Hang Seng Index and Taiwan Capitalization Weighted Stock Index? When adopting more sophisticated analysis techniques- Fama-French three factor model and more appropriate proxy of trading frequency, does the relationship discovered in this paper differ from the previous studies? And does this finding is consistent with the market perception on the impact of liquidity in practice?

Motivation for the Research研究动机

Plenty of empirical literature has proved that the liquidity of the stocks is closely associated with its returns and is one of the determinants that have impact on Asset Pricing Procedure (Amibud & Mendelson, 1986; Lesmond, 2005). However, there has been a long controversial debate on the relationship between liquidity and stock returns from the views of investment professionals and financial academics. In practice, some investors prefer to operate in active market with high liquidity of assets, since they argued that it is easier to obtain the higher return under such circumstance (O’Hara, 2003; Su & Mai, 2004). In contrast, most of the financial academic literatures provide the empirical evidences that liquidity is negative to the expected stock returns in both some of the developed markets and the emerging markets while transaction costs and trading policy issues are taken into account (Amibud & Mendelson, 1986; Lesmond, 2005; Gao & Kling, 2006). To back up these results, some academics pointed out that like a fine art or antique market, when investors treat an illiquid asset, they always require a higher rate of return as the compensation for higher transaction cost, longer holding period and other potential risks (O’Hara, 2003; Zhang & Liu, 2006). Based on this large different perception on liquidity effect between the academic and practical world, I find there is an interesting gap to be empirically proved and this idea motivates me to conduct my own research that aims to explore that is there a negative or positive relationship between liquidity and stock return in Greater China Market.The second motivation of this study is that it can adopt a more advanced testing model (Fama-French Model) to process empirical data, compared with the previous similar researches. Moreover, to obtain more comparable results, this testing model will be consistently employed to test each of the three markets within the Greater China concept: China mainland, Hong Kong and Taiwan. Compared with earlier studies, Fama-French three-factor model provides higher explanatory power and is well accepted by the academic world, since it expands the original scope to more variables such as s本论文由英语论文网提供整理，提供论文代写，英语论文代写，代写论文，代写英语论文，代写留学生论文，代写英文论文，留学生论文代写相关核心关键词搜索。