Biến động tỷ suất sinh lợi đặc thù và thanh khoản cổ phiếu
DOI:
https://doi.org/10.24311/jabes/2019.30.11.2Keywords:
Idiosyncratic volatility, Stock price informativeness, Stock liquidityAbstract
This paper examines whether idiosyncratic volatility reflects informed trading or noise trading by investigating the effect of idiosyncratic volatility on stock liquidity. Using a comprehensive data set for all firms listed on Ho Chi Minh Stock Exchange and Ha Noi Stock Exchange from 2007 to 2017, the author finds that idiosyncratic volatility is negatively associated with stock liquidity. This result is consistent with the argument that idiosyncratic volatility is an indicator of stock price informativeness.
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