ABSTRACT

Lou and Sadka, in a study that was published in 2011, examine the effect of stock liquidity characteristics on stock performance during the 2008–2009 crisis. Their conclusion is that liquidity risk, and not the liquidity level, explains stock performance during the crisis. Lou and Sadka measure liquidity via Amihud’s illiquidity measure. I construct a new measure of illiquidity, based on transaction-by-transaction price changes and conduct a similar analysis to that in Lou and Sadka. My findings show that, controlling for liquidity risk, the level of liquidity has incremental explanatory power for stock performance during the crisis. My analysis suggests that the level of liquidity and liquidity risk are both important facets of stock liquidity and that there might be an interaction or overlap between the two.

摘要

Lou 和 Sadka 在 2011 年发表的一项研究中研究了 2008-2009 年危机期间股票流动性特征对股票表现的影响。他们的结论是流动性风险，而不是流动性水平，解释了危机期间的股票表现。Lou 和 Sadka 通过 Amihud 的非流动性度量来衡量流动性。我基于逐笔交易的价格变化构建了一种新的非流动性衡量标准，并进行了与 Lou 和 Sadka 类似的分析。我的研究结果表明，在控制流动性风险的情况下，流动性水平对危机期间的股票表现具有递增的解释力。我的分析表明，流动性水平和流动性风险都是股票流动性的重要方面，两者之间可能存在相互作用或重叠。