| Paper Number | KCB-PP-2016-072 |
|---|---|
| Title | State-Dependent Illiquidity Premium in the Korean Stock Market. |
| Title(Other) | |
| Author | Jeewon Jang ; Jangkoo Kang ; Changjun Lee |
| Publisher | Taylor & Francis Group, LLC |
| Abstract | 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 a substantial illiquidity premium in the expansion?expansive state. |
| Full-Text | * Full-Text 다운로드는 경영대학 학생에게만 제공되고 있습니다. |