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