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CSR, media and stock illiquidity: Evidence from Chinese listed financial firms

Zhang, J. and Zhang, Z. (2020) CSR, media and stock illiquidity: Evidence from Chinese listed financial firms. Finance Research Letters . Art. 101809.

Link to Published Version: https://doi.org/10.1016/j.frl.2020.101809
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Abstract

This paper examines the dynamic relationship among stock illiquidity, corporate social responsibility (CSR) news release and media tone. Using news from 93 news publishers, we investigate the circumstance in which public news release is related to illiquidity by employing the EGARCH-M and the FIGARCH models. The results indicate that CSR news release has a negative and significant impact on stock illiquidity, and media tone effect is asymmetric. Both CSR news and other firm specific general news reduce the volatility persistence and long memory property of stock illiquidity. The sources of news releases matter in impacting stock illiquidity.

Item Type: Journal Article
Murdoch Affiliation: Murdoch Business School
Publisher: Elsevier Inc
Copyright: © 2020 Elsevier Inc.
URI: http://researchrepository.murdoch.edu.au/id/eprint/58565
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