À繫¿¬±¸ Á¦ ±Ç È£ (2009³â 5¿ù)
Asian Review of Financial Research, Vol., No..
pp.276~308
pp.276~308
Macro-level of Institutional Quality and Market Liquidity for Non-US Stocks
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
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.
Pankaj K. Jain
Jang-Chul Kim
Young Sang Kim
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.
Country Rating,Spreads,Market Quality Index,Adverse Selection Costs.
[ 07327 ] 67-8, Yeouinaru-ro, Yeongdeungpo-gu, Seoul, Korea TEL. +82-2-2003-9921 FAX. +82-2-2003-9979 E-mail. office@korfin.org COPYRIGHT(C) SINCE 1987 KOREAN FINANCE ASSOCIATION. All rights reserved.