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- Söderberg, Jonas,1975-Växjö universitet,Ekonomihögskolan, EHV (author)
(Il)liquidity on the Scandinavian Stock Exchange
- BookEnglish2007
Publisher, publication year, extent ...
- Växjö :Ekonomihögskolan, Växjö Universitet,2007
- 60 s.
- printrdacarrier
Numbers
- LIBRIS-ID:oai:DiVA.org:vxu-1769
- https://urn.kb.se/resolve?urn=urn:nbn:se:vxu:diva-1769URI
Supplementary language notes
- Language:English
- Summary in:English
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Notes
- The time-series dynamics of liquidity on the Scandinavian stock exchanges between January 1993 and June 2005 are studied with an (il)liquidity index, based on the measures in Amihud (2002) and Lesmond, Ogden and Trzcinka (1999). The relationships between return, volatility, trading activity, and liquidity are examined in a VAR framework within these purely order-driven stock exchanges. In comparison to previous studies on the market structure in U.S stock exchanges, our results indicate that liquidity is more dependent on trading activity in the Scandinavian purely order-driven markets. Further, the linkage between the stock exchanges in terms of liquidity is explored. We document evidence of liquidity spilloverbetween the Scandinavian stock exchanges.
Subject headings and genre
- SAMHÄLLSVETENSKAP Ekonomi och näringsliv Nationalekonomi hsv//swe
- SOCIAL SCIENCES Economics and Business Economics hsv//eng
- Finance
- Liquidity
- Order-driven stock exchanges
- Economics
- Nationalekonomi
- Economics
- Nationalekonomi
Added entries (persons, corporate bodies, meetings, titles ...)
- Shukur, Ghazi,ProfessorVäxjö universitet,Ekonomihögskolan, EHV (thesis advisor)
- Bechmann, Ken,ProfessorCopenhagen Business School (opponent)
- Växjö universitetEkonomihögskolan, EHV (creator_code:org_t)
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