Impacts of Corporate Governance on Stock Liquidity: A Panel Quantile Regression

  • Jutamas Wongkantarakorn Thammasat Business School, Thammasat University, Thailand and College of Innovation Management, Rajamangala University of Technology Rattanakosin, Thailand
  • Chaiyuth Padungsaksawasdi Department of Finance, Thammasat Business School, Thammasat University, Thailand
  • Tatre Jantarakolica Faculty of Economics, Thammasat University, Thailand
Keywords: Corporate Governance, Liquidity, Panel Data, Quintile Regression

Abstract

Dissimilar to previous studies, the present article considers the positively skewed distribution of the Amihud’s (2002) stock illiquidity measured by employing random-effects Tobit and fixed-effect quantile regression models. We find a significant impact of the Thai Institute of Directors’ corporate governance index (i.e., no star, 3-star, 4-star, and 5-star) on the stock liquidity in the Stock Exchange of Thailand. In general, good corporate governance improves firm transparency, thereby inducing increased trade. Robustness tests using a nonparametric measure of rank correlation and a random-effects ordered Probit model confirm our findings.

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Published
2020-11-08
How to Cite
Wongkantarakorn, J., Padungsaksawasdi, C., & Jantarakolica, T. (2020). Impacts of Corporate Governance on Stock Liquidity: A Panel Quantile Regression. Thailand and The World Economy, 38(3), 24-39. Retrieved from https://so05.tci-thaijo.org/index.php/TER/article/view/236446

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