English
12 (2) 2017
Thanh khoản, biến động lợi nhuận và tỷ suất sinh lời cổ phiếu - nghiên cứu trên thị trường chứng khoán Việt Nam
Tác giả liên hệ, Email:Tóm tắt
Từ khóa
Tài liệu tham khảo
Amihud, Y. (2002). Illiquidity and stock returns: cross-section and time-series effects. Journal of financial markets, 5(1), 31-56.
Amihud, Y., & Mendelson, H. (1986). Asset pricing and the bid-ask spread. Journal of financial Economics, 17(2), 223-249.
Amihud, Y., Mendelson, H., & Lauterbach, B. (1997). Market microstructure and securities values: Evidence from the Tel Aviv Stock Exchange. Journal of financial Economics, 45(3), 365-390.
Batten, J. A., & Vo, X. V. (2014). Liquidity and return relationships in an emerging market. Emerging Markets Finance and Trade, 50(1), 5-21.
Black, F. (1976). Stuedies of stock price volatility changes.
Brennan, M. J., & Subrahmanyam, A. (1996). Market microstructure and asset pricing: On the compensation for illiquidity in stock returns. Journal of financial Economics, 41(3), 441-464.
Campbell, J. Y., Grossman, S. J., & Wang, J. (1992). Trading volume and serial correlation in stock returns. Retrieved from
Campbell, J. Y., & Hentschel, L. (1992). No news is good news: An asymmetric model of changing volatility in stock returns. Journal of financial Economics, 31(3), 281-318.
Chen, Z., Du, J., Li, D., & Ouyang, R. (2013). Does foreign institutional ownership increase return volatility? Evidence from China. Journal of Banking & Finance, 37(2), 660-669.
Cheung, y. w., & Ng, L. K. (1992). Stock price dynamics and firm size: An empirical investigation. The Journal of Finance, 47(5), 1985-1997.
Chordia, T., Sarkar, A., & Subrahmanyam, A. (2005). The joint dynamics of liquidity, returns, and volatility across small and large firms. Retrieved from
Christie, A. A. (1982). The stochastic behavior of common stock variances: Value, leverage and interest rate effects. Journal of financial Economics, 10(4), 407-432.
Datar, V. T., Naik, N. Y., & Radcliffe, R. (1998). Liquidity and stock returns: An alternative test. Journal of financial markets, 1(2), 203-219.
Duffee, G. R. (1995). Stock returns and volatility a firm-level analysis. Journal of financial Economics, 37(3), 399-420.
French, K. R., Schwert, G. W., & Stambaugh, R. F. (1987). Expected stock returns and volatility. Journal of financial Economics, 19(1), 3-29.
Hong, H., & Stein, J. C. (2007). Disagreement and the stock market. The Journal of Economic Perspectives, 21(2), 109-128.
Jun, S.-G., Marathe, A., & Shawky, H. A. (2003). Liquidity and stock returns in emerging equity markets. Emerging Markets Review, 4(1), 1-24.
Khositkulporn, P. (2013). The Factors Affecting Stock Market Volatility and Contagion: Thailand and South-East Asia Evidence. Citeseer.
Li, D., Nguyen, Q. N., Pham, P. K., & Wei, S. X. (2011). Large foreign ownership and firm-level stock return volatility in emerging markets. Journal of Financial and Quantitative Analysis, 46(4), 1127-1155.
Liu, Y., Gopikrishnan, P., & Stanley, H. E. (1999). Statistical properties of the volatility of price fluctuations. Physical Review E, 60(2), 1390.
Lo, A. W., & Wang, J. (2000). Trading volume: definitions, data analysis, and implications of portfolio theory. Review of Financial studies, 13(2), 257-300.
Muñoz, F. (2013). Liquidity and firm investment: Evidence for Latin America. Journal of Empirical Finance, 20, 18-29.
Parkinson, M. (1980). The extreme value method for estimating the variance of the rate of return. Journal of Business, 61-65.
Ranaldo, A. (2000). Intraday trading activity on financial markets: The Swiss evidence. Citeseer.
Ruiz, M. d. C., Guillamón, A., & Gabaldón, A. (2012). A new approach to measure volatility in energy markets. Entropy, 14(1), 74-91.
Tabak, B. M., & Guerra, S. M. (2002). Stock returns and volatility. Journal of Economic Literature G, 10, C53.
This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License.