Aktiers likviditet och finansiell stress
(2012) NEKH01 20121Department of Economics
- Abstract
- This paper analyzes if there exist a statistical relationship between liquidity on stock, listed at NASDAQ OMX Nordic Stockholm, and financial stress. Liquidity is approximated by volume turnover, and financial stress is represented by SIXVX implied volatility index. To find out if stock liquidity responds differently to financial stress, depending on capitalization value, the stocks were divided into four groups: All stocks, Large Capitalization, Medium Capitalization, and Small Capitalization. The analysis is based on secondary data, from the period 2004-05-07 – 2012-02-29 and the relationship is estimated with standard OLS- regression. The results showed statistically significant coefficients of correlation for all groups. Most, but not... (More)
- This paper analyzes if there exist a statistical relationship between liquidity on stock, listed at NASDAQ OMX Nordic Stockholm, and financial stress. Liquidity is approximated by volume turnover, and financial stress is represented by SIXVX implied volatility index. To find out if stock liquidity responds differently to financial stress, depending on capitalization value, the stocks were divided into four groups: All stocks, Large Capitalization, Medium Capitalization, and Small Capitalization. The analysis is based on secondary data, from the period 2004-05-07 – 2012-02-29 and the relationship is estimated with standard OLS- regression. The results showed statistically significant coefficients of correlation for all groups. Most, but not all, analyzed parameters could be accepted at the chosen level of significance. All groups showed a negative relationship between liquidity (turnover rate) and financial stress (implied volatility). (Less)
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/student-papers/record/2438801
- author
- Ghoreishi, Afshin LU
- supervisor
- organization
- course
- NEKH01 20121
- year
- 2012
- type
- M2 - Bachelor Degree
- subject
- keywords
- Stock liquidity, Turnover rate, Financial stress, Implied volatility, Nasdaq OMX Stockholm
- language
- Swedish
- id
- 2438801
- date added to LUP
- 2012-04-13 14:45:44
- date last changed
- 2012-04-13 14:45:44
@misc{2438801, abstract = {{This paper analyzes if there exist a statistical relationship between liquidity on stock, listed at NASDAQ OMX Nordic Stockholm, and financial stress. Liquidity is approximated by volume turnover, and financial stress is represented by SIXVX implied volatility index. To find out if stock liquidity responds differently to financial stress, depending on capitalization value, the stocks were divided into four groups: All stocks, Large Capitalization, Medium Capitalization, and Small Capitalization. The analysis is based on secondary data, from the period 2004-05-07 – 2012-02-29 and the relationship is estimated with standard OLS- regression. The results showed statistically significant coefficients of correlation for all groups. Most, but not all, analyzed parameters could be accepted at the chosen level of significance. All groups showed a negative relationship between liquidity (turnover rate) and financial stress (implied volatility).}}, author = {{Ghoreishi, Afshin}}, language = {{swe}}, note = {{Student Paper}}, title = {{Aktiers likviditet och finansiell stress}}, year = {{2012}}, }