Local stock liquidity and local factors: fresh evidence from US firms across states

Journal article


Apergis, N. and Ghosh Dastidar, S. 2023. Local stock liquidity and local factors: fresh evidence from US firms across states. Research in International Business and Finance. 67, pp. 1-15. https://doi.org/10.1016/j.ribaf.2023.102112
AuthorsApergis, N. and Ghosh Dastidar, S.
Abstract

Our study explicitly considers Luo et al. (2017) recommendation for more local factors to be examined and investigates a new determinant, i.e., the effect of the fraction of seniors in each US state, of local stock liquidity for 9,673 firms across US states from 2000 to 2019. The analysis provides two potential channels through which this (local) factor can affect local stock liquidity. The results report that the new factor exerts a significant impact on local firm liquidity, with the sign depending on the definition of liquidity being used. In terms of the two channels explored, the findings document an impact of the fraction of seniors on local bank deposits, while young and small firms exert a negative stronger effect on local stock liquidity versus the remaining firms. The findings carry key implications for market practitioners, such as investors, market operators, regulators, and academics and other researchers.

KeywordsLocal stock liquidity; local/state factors; panel data; US firms
Year2023
JournalResearch in International Business and Finance
Journal citation67, pp. 1-15
PublisherElsevier
ISSN0275-5319
Digital Object Identifier (DOI)https://doi.org/10.1016/j.ribaf.2023.102112
Web address (URL)https://www.sciencedirect.com/science/article/pii/S0275531923002386
Accepted author manuscript
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Controlled
Output statusPublished
Publication dates
Online21 Sep 2023
Publication process dates
Accepted19 Sep 2023
Deposited09 Oct 2023
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https://repository.derby.ac.uk/item/q1768/local-stock-liquidity-and-local-factors-fresh-evidence-from-us-firms-across-states

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