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State-Dependent Illiquidity Premium in the Korean Stock Market

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dc.contributor.authorJang, Jeewonko
dc.contributor.authorKang, Jang-Kooko
dc.contributor.authorLee, Changjunko
dc.date.accessioned2015-06-04T06:16:29Z-
dc.date.available2015-06-04T06:16:29Z-
dc.date.created2015-06-01-
dc.date.created2015-06-01-
dc.date.issued2015-03-
dc.identifier.citationEMERGING MARKETS FINANCE AND TRADE, v.51, no.2, pp.400 - 417-
dc.identifier.issn1540-496X-
dc.identifier.urihttp://hdl.handle.net/10203/198827-
dc.description.abstractWe 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 a substantial illiquidity premium in the expansion-expansive state.-
dc.languageEnglish-
dc.publisherROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD-
dc.subjectLIQUIDITY RISK-
dc.subjectCROSS-SECTION-
dc.subjectRETURNS-
dc.subjectMODEL-
dc.titleState-Dependent Illiquidity Premium in the Korean Stock Market-
dc.typeArticle-
dc.identifier.wosid000354043500010-
dc.identifier.scopusid2-s2.0-84946044402-
dc.type.rimsART-
dc.citation.volume51-
dc.citation.issue2-
dc.citation.beginningpage400-
dc.citation.endingpage417-
dc.citation.publicationnameEMERGING MARKETS FINANCE AND TRADE-
dc.identifier.doi10.1080/1540496X.2015.1016842-
dc.contributor.localauthorKang, Jang-Koo-
dc.contributor.nonIdAuthorJang, Jeewon-
dc.contributor.nonIdAuthorLee, Changjun-
dc.type.journalArticleArticle-
dc.subject.keywordAuthorilliquidity premium-
dc.subject.keywordAuthormonetary conditions-
dc.subject.keywordAuthorreal economic conditions-
dc.subject.keywordAuthorstock market liquidity-
dc.subject.keywordPlusLIQUIDITY RISK-
dc.subject.keywordPlusCROSS-SECTION-
dc.subject.keywordPlusRETURNS-
dc.subject.keywordPlusMODEL-
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