Journal article
CSR, media and stock illiquidity: Evidence from Chinese listed financial firms
Finance Research Letters, Vol.41, Art. 101809
2020
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.
Details
- Title
- CSR, media and stock illiquidity: Evidence from Chinese listed financial firms
- Authors/Creators
- J. Zhang (Author/Creator) - Murdoch UniversityZ. Zhang (Author/Creator) - Edith Cowan University
- Publication Details
- Finance Research Letters, Vol.41, Art. 101809
- Publisher
- Elsevier Inc
- Identifiers
- 991005540347007891
- Copyright
- © 2020 Elsevier Inc.
- Murdoch Affiliation
- Do not use- Former Murdoch Business School
- Language
- English
- Resource Type
- Journal article
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- Collaboration types
- Domestic collaboration
- Citation topics
- 6 Social Sciences
- 6.3 Management
- 6.3.385 Corporate Social Responsibility
- Web Of Science research areas
- Business, Finance
- ESI research areas
- Economics & Business