Biến động tỷ suất sinh lợi đặc thù và thanh khoản cổ phiếu
DOI:
https://doi.org/10.24311/jabes/2019.30.11.2Từ khóa:
Tỷ suất sinh lợi đặc thù, Tính thông tin giá cổ phiếu, Thanh khoản cổ phiếuTóm tắt
Bài viết này được thực hiện nhằm nghiên cứu liệu biến động tỷ suất sinh lợi đặc thù cổ phiếu phản ánh hoạt động giao dịch dựa trên thông tin hay chỉ thuần túy là một chỉ dấu của giao dịch nhiễu thông qua việc đánh giá ảnh hưởng của biến động tỷ suất sinh lợi đặc thù đến thanh khoản cổ phiếu. Sử dụng dữ liệu của các doanh nghiệp niêm yết trên hai Sở Giao dịch Chứng khoán TP. Hồ Chí Minh và Sở Giao dịch Chứng khoán Hà Nội trong khoảng thời gian từ năm 2007-2017, kết quả nghiên cứu cho thấy biến động tỷ suất sinh lợi đặc thù có quan hệ nghịch chiều với thanh khoản cổ phiếu.
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