On Stock Market Illiquidity of the NSE of India
Liquidity is one of the key ingredients of any stock market. Lack of liquidity or illiquidity is a concern to the investing community. This paper, using impact cost as a proxy to illiquidity, addresses a few key areas of stock market illiquidity of the National Stock Exchange (NSE) of India. Using autoregressive models, illiquidity shocks have been computed. Moreover, applying the GARCH model to illiquidity shocks, a series of conditional variances have also been calculated. Furthermore, a negative correlation has been found between illiquidity shocks and monthly market returns.
Year of publication: |
2009
|
---|---|
Authors: | Sen, Som Sankar |
Published in: |
The IUP Journal of Financial Economics. - IUP Publications. - Vol. VII.2009, 3 & 4, p. 95-104
|
Publisher: |
IUP Publications |
Saved in:
Saved in favorites
Similar items by person
-
On stock market illiquidity of the NSE of India
Sen, Som Sankar, (2009)
-
The month-of-the-year effect in the Indian stock market : a study on BSE SENSEX
Sen, Som Sankar, (2015)
-
Sen, Som Sankar, (2012)
- More ...