Impact of Idiosyncratic Risk, Systematic Risk and Investor Sentiment on Liquidity of Stock: The Indian Case

Sen, Som Sankar; Dutta, Shubha Ranjan; Roy, Abhisek Saha; Mukherjee, Tutun

doi:10.54063/ojc.2021.v42i01.01

Cited by 2 publications

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“…The results also reveal that the control variable, investor sentiment does influence the illiquidity of stock adversely, indicating that the liquidity of stock improves with favourable investor sentiment. This result is consistent with the findings of Sen et al (2021). However, the research fails to find any strong influence of firm-specific risk on stock liquidity, which contradicts the findings of Sen et al (2021).…”

Section: Discussionsupporting

confidence: 83%

“…This result is consistent with the findings of Sen et al (2021). However, the research fails to find any strong influence of firm-specific risk on stock liquidity, which contradicts the findings of Sen et al (2021).…”

Section: Discussionsupporting

confidence: 83%

“…Following Sen et al (2021), we adopt a static panel-data (balanced) estimation approach to examine the aforementioned econometric models. This approach, as argued by Petersen (2009), alleviates the limitations of cross-section and time-series, boosting consistency and explanatory power.…”

Section: Methodsmentioning

confidence: 99%

“…Where E 1 Intercept; i (company) = 1, 2…, 97; t (time) = 1, 2, 3, 4…, 10; � µ it = Combined time series and cross-sectional error component; Note: The definition and measurement of research variables are provided in Table 1. Following Sen et al (2021), we adopt a static panel-data (balanced) estimation approach to examine the aforementioned econometric models. This approach, as argued by Petersen (2009), alleviates the limitations of cross-section and time-series, boosting consistency and explanatory power.…”

Section: Methodsmentioning

confidence: 99%

“…Information asymmetry is the central independent variable measured by using the delay factor (see Aghanya et al, 2020) along with D1, D2, and D3. Besides, the present study controls for idiosyncratic risk, systematic risk, and investor sentiment, as these are the three potential factors affecting the liquidity of the stock (see Sen et al, 2021). The definition and measurement of variables are as under.…”

Section: Research Variablesmentioning

confidence: 99%

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The Nexus Between Information Asymmetry and Liquidity of Stock: Evidence from the Indian Market

Dutta,

Sen,

Mukherjee

2023

The Indian Economic Journal

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This study intended to explore the influence of informational asymmetry on stock liquidity in India. After controlling for the effects of firm-specific risk and investor sentiment, the results show that informational asymmetry, as measured by the delay factors has a significant positive association with illiquidity, indicating that market liquidity decreases with less transparency and a high level of informational asymmetry. The results also show that investor sentiment has a significant association with illiquidity, whereas firm-specific risk and illiquidity seem to have no noticeable relationship. The empirical results are validated using a dynamic panel-data approach, with two-stage GMM and remain robust. Theoretically, this study extends the existing literature on liquidity by offering new evidence from a prospective market like India. In practical terms, the findings of this study would help the stock exchange regulators and other regulatory bodies to strengthen the process of information dissemination and sensitise market participants and investors by maintaining a smooth flow of information. JEL Codes: G11, G12, G4, G32

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Section: Discussionsupporting

confidence: 83%

Section: Discussionsupporting

confidence: 83%

Section: Methodsmentioning

confidence: 99%

Section: Methodsmentioning

confidence: 99%

Section: Research Variablesmentioning

confidence: 99%

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The Nexus Between Information Asymmetry and Liquidity of Stock: Evidence from the Indian Market

Dutta,

Sen,

Mukherjee

2023

The Indian Economic Journal

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Stock Liquidity and Firm Value: The Mediating Role of Capital Structure

Mukherjee,

Dutta,

Sen

2023

Colombo Bus. J

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Despite the substantial volume of research on the direct relationship between stock liquidity and firm value, no agreement has been reached on this nexus. This relationship may be influenced by some other intervening factors which have not been captured in the empirical studies. The present study aims to explore the link between stock liquidity and firm value and empirically tests the mediating role of capital structure on this relationship in the Indian context. Using sample data from 97 National Stock Exchange (NSE) listed top non-financial firms from 2010 to 2019 and adopting the Baron and Kenny approach, the results show that higher stock liquidity leads to a greater firm value. Furthermore, firms with liquid stocks are found to have significantly lower leverage. The results also confirm that capital structure fully mediates the relationship between stock liquidity and firm value. The empirical findings have important managerial implications when it comes to devising policies to maximise firms’ value.

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Impact of Idiosyncratic Risk, Systematic Risk and Investor Sentiment on Liquidity of Stock: The Indian Case

Cited by 2 publications

References 0 publications

The Nexus Between Information Asymmetry and Liquidity of Stock: Evidence from the Indian Market

The Nexus Between Information Asymmetry and Liquidity of Stock: Evidence from the Indian Market

Stock Liquidity and Firm Value: The Mediating Role of Capital Structure

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