The informational variables impact on firm’s liquidity in the French market
DOI:
https://doi.org/10.55429/ijabf.v2i1.94Keywords:
Liquidity, Bid-Ask spread, Information asymmetry, Information demand and supply, Amihud ratio, Turnover Price ImpactAbstract
This paper investigates the informational variables impact on stock liquidity in the French market. We use two types of informational variables: Google search volume from Google Trends database as a proxy of information demand and news headlines for each stock as a proxy for information supply. Concerning the liquidity proxies, we use these measures: the quoted spread, the turnover price impact and the Amihud illiquidity ratio. The results indicate that information variables have an influence on stock liquidity.
Metrics
References
Amihud, Y. (2002). Illiquidity and stock returns: cross-section and time-series effects. Journal of Financial Markets, 5(1), 31–56. https://doi.org/10.1016/S1386-4181(01)00024-6 DOI: https://doi.org/10.1016/S1386-4181(01)00024-6
Antweiler, W., & Frank, M. Z. (2004). Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards. The Journal of Finance, 59(3), 1259–1294. https://doi.org/10.1111/j.1540-6261.2004.00662.x DOI: https://doi.org/10.1111/j.1540-6261.2004.00662.x
Asur, S., & Huberman, B. A. (2010). Predicting the Future with Social Media. 2010 IEEE/WIC/ACM International Conference on Web Intelligence and Intelligent Agent Technology, 492–499. https://doi.org/10.1109/WI-IAT.2010.63 DOI: https://doi.org/10.1109/WI-IAT.2010.63
Bagehot, W. (1971). The Only Game in Town. Financial Analysts Journal, 27(2), 12–14. https://doi.org/10.2469/faj.v27.n2.12 DOI: https://doi.org/10.2469/faj.v27.n2.12
Bank, M., Larch, M., & Peter, G. (2011). Google search volume and its influence on liquidity and returns of German stocks. Financial Markets and Portfolio Management, 25(3), 239. https://doi.org/10.1007/s11408-011-0165-y DOI: https://doi.org/10.1007/s11408-011-0165-y
Barber, B. M., & Odean, T. (2008). All That Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors. Review of Financial Studies, 21(2), 785–818. https://doi.org/10.1093/rfs/hhm079 DOI: https://doi.org/10.1093/rfs/hhm079
Bischof, J., & Daske, H. (2013). Mandatory Disclosure, Voluntary Disclosure, and Stock Market Liquidity: Evidence from the EU Bank Stress Tests. Journal of Accounting Research, 51(5), 997–1029. https://doi.org/10.1111/1475-679X.12029 DOI: https://doi.org/10.1111/1475-679X.12029
Blankespoor, E., Miller, G. S., & White, H. D. (2012). Dissemination, Direct-Access Information Technology and Information Asymmetry. SSRN Electronic Journal. https://doi.org/10.2139/ssrn.1657169 DOI: https://doi.org/10.2139/ssrn.1657169
Buzby, S. L. (1975). Company size, listed versus unlisted stocks, and the extent of financial disclosure. Journal of Accounting Research, 16–37. DOI: https://doi.org/10.2307/2490647
Chen, W.-P., Chung, H., Lee, C., & Liao, W.-L. (2007). Corporate Governance and Equity Liquidity: analysis of S&P transparency and disclosure rankings. Corporate Governance: An International Review, 15(4), 644–660. https://doi.org/10.1111/j.1467-8683.2007.00594.x DOI: https://doi.org/10.1111/j.1467-8683.2007.00594.x
Da, Z., Engelberg, J., & Gao, P. (2011). In Search of Attention. The Journal of Finance, 66(5), 1461–1499. https://doi.org/10.1111/j.1540-6261.2011.01679.x DOI: https://doi.org/10.1111/j.1540-6261.2011.01679.x
Deller, D., Stubenrath, M., & Weber, C. (1999). A survey on the use of the Internet for investor relations in the USA, the UK and Germany. European Accounting Review, 8(2), 351–364. https://doi.org/10.1080/096381899336087 DOI: https://doi.org/10.1080/096381899336087
Florackis, C., Gregoriou, A., & Kostakis, A. (2011). Trading Frequency and Asset Pricing on the London Stock Exchange: Evidence from a New Price Impact Ratio. SSRN Electronic Journal. https://doi.org/10.2139/ssrn.1628108 DOI: https://doi.org/10.2139/ssrn.1628108
Frino, A., Palumbo, R., Capalbo, F., Gerace, D., & Mollica, V. (2013). Information Disclosure and Stock Liquidity: Evidence from Borsa Italiana. Abacus, 49(4), 423–440. https://doi.org/10.1111/abac.12014 DOI: https://doi.org/10.1111/abac.12014
Gowthorpe, C., & Amat, O. (1999). External reporting of accounting and financial information via the Internet in Spain. European Accounting Review, 8(2), 365–371. https://doi.org/10.1080/096381899336096 DOI: https://doi.org/10.1080/096381899336096
Goyenko, R. Y., Holden, C. W., & Trzcinka, C. A. (2009). Do liquidity measures measure liquidity?☆. Journal of Financial Economics, 92(2), 153–181. https://doi.org/10.1016/j.jfineco.2008.06.002 DOI: https://doi.org/10.1016/j.jfineco.2008.06.002
Gray, G. L., & Debreceny, R. (1997). Corporate reporting on the internet: opportunities and challenges. Seventh Asian-Pacific Conference on International Accounting Issues, Bangkok.
Hodge, F. D., Kennedy, J. J., & Maines, L. A. (2004). Does Search-Facilitating Technology Improve the Transparency of Financial Reporting? The Accounting Review, 79(3), 687–703. https://doi.org/10.2308/accr.2004.79.3.687 DOI: https://doi.org/10.2308/accr.2004.79.3.687
Joseph, K., Babajide Wintoki, M., & Zhang, Z. (2011). Forecasting abnormal stock returns and trading volume using investor sentiment: Evidence from online search. International Journal of Forecasting, 27(4), 1116–1127. https://doi.org/10.1016/j.ijforecast.2010.11.001 DOI: https://doi.org/10.1016/j.ijforecast.2010.11.001
Karpoff, J. M. (1987). The Relation Between Price Changes and Trading Volume: A Survey. The Journal of Financial and Quantitative Analysis, 22(1), 109. https://doi.org/10.2307/2330874 DOI: https://doi.org/10.2307/2330874
Kietzmann, J. H., Hermkens, K., McCarthy, I. P., & Silvestre, B. S. (2011). Social media? Get serious! Understanding the functional building blocks of social media. Business Horizons, 54(3), 241–251. https://doi.org/10.1016/j.bushor.2011.01.005 DOI: https://doi.org/10.1016/j.bushor.2011.01.005
Kumar, G., & Misra, A. K. (2018). Commonality in liquidity: Evidence from India’s National Stock Exchange. Journal of Asian Economics, 59, 1–15. https://doi.org/10.1016/j.asieco.2018.09.001 DOI: https://doi.org/10.1016/j.asieco.2018.09.001
Kumar, G., Misra, A. K., Pant, A., & Rahman, M. R. (2020). Assessing Commonality in Liquidity: Evidence from an Emerging Market’s Index Stocks. Global Business Review, 097215092094290. https://doi.org/10.1177/0972150920942902 DOI: https://doi.org/10.1177/0972150920942902
Leuz, C., & Verrecchia, R. E. (2000). The Economic Consequences of Increased Disclosure. Journal of Accounting Research, 38, 91. https://doi.org/10.2307/2672910 DOI: https://doi.org/10.2307/2672910
Lippman, S. A., & McCall, J. J. (1986). An operational measure of liquidity. The American Economic Review, 76(1), 43–55.
Marston, C., & Polei, A. (2004). Corporate reporting on the Internet by German companies. International Journal of Accounting Information Systems, 5(3), 285–311. https://doi.org/10.1016/j.accinf.2004.02.009 DOI: https://doi.org/10.1016/j.accinf.2004.02.009
Moussa, F., Delhoumi, E., & Ouda, O. Ben. (2017). Stock return and volatility reactions to information demand and supply. Research in International Business and Finance, 39, 54–67. https://doi.org/10.1016/j.ribaf.2016.07.016 DOI: https://doi.org/10.1016/j.ribaf.2016.07.016
Petersen, C., & Plenborg, T. (2006). Voluntary disclosure and information asymmetry in Denmark. Journal of International Accounting, Auditing and Taxation, 15(2), 127–149. https://doi.org/10.1016/j.intaccaudtax.2006.08.004 DOI: https://doi.org/10.1016/j.intaccaudtax.2006.08.004
Petravick, S., & Gillett, J. (1996). Financial reporting on the world wide web. Strategic Finance, 78(1), 26.
Rubin, A., & Rubin, E. (2010). Informed Investors and the Internet. Journal of Business Finance & Accounting, 37(7–8), 841–865. https://doi.org/10.1111/j.1468-5957.2010.02187.x DOI: https://doi.org/10.1111/j.1468-5957.2010.02187.x
Stoll, H. R. (2000). Presidential Address: Friction. The Journal of Finance, 55(4), 1479–1514. https://doi.org/10.1111/0022-1082.00259 DOI: https://doi.org/10.1111/0022-1082.00259
Trites, G. (1999). REGULARS-TECHNOLOGY-Financial reporting-Democratizing disclosure. CA Magazine-Chartered Accountant, 132(8), 47–48.
Vlastakis, N., & Markellos, R. N. (2012). Information demand and stock market volatility. Journal of Banking & Finance, 36(6), 1808–1821. https://doi.org/10.1016/j.jbankfin.2012.02.007 DOI: https://doi.org/10.1016/j.jbankfin.2012.02.007
Vozlyublennaia, N. (2014). Investor attention, index performance, and return predictability. Journal of Banking & Finance, 41, 17–35. https://doi.org/10.1016/j.jbankfin.2013.12.010 DOI: https://doi.org/10.1016/j.jbankfin.2013.12.010
Welker, M. (1995). Disclosure Policy, Information Asymmetry, and Liquidity in Equity Markets. Contemporary Accounting Research, 11(2), 801–827. https://doi.org/10.1111/j.1911-3846.1995.tb00467.x DOI: https://doi.org/10.1111/j.1911-3846.1995.tb00467.x
Xiong, X.J., R. Sullivan, and P. Wang (2013). Liquidity-Driven Dynamic Asset Allocation. Journal of Portfolio Management, 39, 102-111. https://doi.org/10.3905/jpm.2013.39.3.102 DOI: https://doi.org/10.3905/jpm.2013.39.3.102
Yoon, H., Zo, H., & Ciganek, A. P. (2011). Does XBRL adoption reduce information asymmetry? Journal of Business Research, 64(2), 157–163. https://doi.org/10.1016/j.jbusres.2010.01.008 DOI: https://doi.org/10.1016/j.jbusres.2010.01.008
Downloads
Published
How to Cite
Issue
Section
License
Copyright (c) 2023 Faten Moussa, Ezzeddine Delhoumi
This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License.
This is an open-access journal. Your article will be published open-access, but you will not have to pay an APC (article processing charge) - publication is free. Your article will be published with a Creative Commons CC BY-NC 4.0 user licence, which outlines how readers can reuse your work. The licence terms may be found at https://creativecommons.org/licenses/by-nc/4.0/.
