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Aktiers likviditet och finansiell stress

Ghoreishi, Afshin LU (2012) NEKH01 20121
Department 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)
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author
Ghoreishi, Afshin LU
supervisor
organization
course
NEKH01 20121
year
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},
  keyword      = {Stock liquidity,Turnover rate,Financial stress,Implied volatility,Nasdaq OMX Stockholm},
  language     = {swe},
  note         = {Student Paper},
  title        = {Aktiers likviditet och finansiell stress},
  year         = {2012},
}