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Like liquid off a Danes back : A quantitative study of illiquidity in the Copenhagen Stock Exchange

The research is conducted through a quantitative study based on data collected from the Copenhagen Stock Exchange between 2003 and 2011. Our primary purpose was to ascertain whether illiquidity was priced in the Copenhagen Stock Exchange. Illiquidity has been shown as a difficult concept to measure as it is not an observable variable in itself. We show that illiquidity can be measured using Amihud’s (2002) ILLIQ-measure. We investigated the relationship between asset pricing models and illiquidity. We provided an in depth look into illiquidity and past research involving liquidity and asset pricing as well as a thorough theoretical background concerning relevant academic theory. Though our empirical analysis we found evidence which supports the pricing of illiquidity in the Copenhagen Stock Exchange.

Identiferoai:union.ndltd.org:UPSALLA1/oai:DiVA.org:umu-46370
Date January 2011
CreatorsEknemar, Mattias, Short, Wesley
PublisherUmeå universitet, Handelshögskolan vid Umeå universitet, Umeå universitet, Handelshögskolan vid Umeå universitet
Source SetsDiVA Archive at Upsalla University
LanguageEnglish
Detected LanguageEnglish
TypeStudent thesis, info:eu-repo/semantics/bachelorThesis, text
Formatapplication/pdf
Rightsinfo:eu-repo/semantics/openAccess

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