This paper studies liquidity provision in the Alternative Investment Market (AIM) of the London Stock Exchange. Our analysis shows that it is possible to generate sufficient liquidity in a small company market. Indeed, a small group of AIM stocks are found to trade frequently, exposing the...

There has been considerable interest, both academic and regulatory, in the hypothesis that the higher is the volume in the futures market, the greater is the destabilizing effect on the stock market. We show that conventional approaches, such as adding exogenous variables to GARCH models, may...

This research examines the perception that the AIM market is riskier than the Official List market in comparable stocks. The empirical analysis uses high frequency data for January 2000 to December 2004 on 533 AIM stocks and 264 comparable Official List stocks. Risk is measured in a variety of...