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

Author Identifier

Zhaoyong Zhang

https://orcid.org/0000-0001-9596-2648

Document Type

Journal Article

Publication Title

Finance Research Letters

Volume

41

Publisher

Elsevier

School

School of Business and Law

RAS ID

32593

Funders

Sumitomo Foundation

Comments

Zhang, J., & Zhang, Z. (2021). CSR, media and stock illiquidity: Evidence from Chinese listed financial firms. Finance Research Letters, 41, article 101809. https://doi.org/10.1016/j.frl.2020.101809

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.

DOI

10.1016/j.frl.2020.101809

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Link to publisher version (DOI)

10.1016/j.frl.2020.101809