Investor Protection and Firm Liquidity
研究投资者保护如何影响企业流动性，发现保护较弱的环境会导致买卖价差扩大、市场深度减小，基于香港和中国内地股票的对比数据验证了这一结论。
ABSTRACT The purpose of this study is to investigate the relation between investor protection and firm liquidity. We posit that less protective environments lead to wider bid‐ask spreads and thinner depths because they fail to minimize information asymmetries. The Hong Kong equity market provides a unique opportunity to compare liquidity costs across distinct investor protection environments, but still within a common trading mechanism and currency. Our empirical findings verify that firm liquidity is significantly affected by investor protection. Regression and matched‐sample results show that Hong Kong‐based equities exhibit narrower spreads and thicker depths than their China‐based counterparts.