Free float and market liquidity: A study of Hong Kong government intervention

Kalok Chan, Yue Cheong Chan, Wai Ming Fong

Research output: Journal article publicationReview articleAcademic researchpeer-review

7 Citations (Scopus)

Abstract

The August 1998 Hong Kong government intervention in the stock market offers a natural experiment for studying the relation between a free float and market liquidity, where a free float is the portion of listed share capital that is freely traded on the market. Our findings show that, relative to a group of control stocks, there was an increase in the price effects of trades for the 33 Hang Seng Index component stocks that were bought by the government. On the other hand, there was no clear cross-sectional relation between the change in the price effect and the magnitude of government holdings or the decrease in the free float.
Original languageEnglish
Pages (from-to)179-197
Number of pages19
JournalJournal of Financial Research
Volume27
Issue number2
DOIs
Publication statusPublished - 1 Jun 2004

ASJC Scopus subject areas

  • Accounting
  • Finance

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