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Like liquid off a Danes back: A quantitative study of illiquidity in the Copenhagen Stock Exchange
Umeå University, Faculty of Social Sciences, Umeå School of Business.
Umeå University, Faculty of Social Sciences, Umeå School of Business.
2011 (English)Independent thesis Advanced level (degree of Master (Two Years)), 10 credits / 15 HE creditsStudent thesis
Abstract [en]

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.

Place, publisher, year, edition, pages
2011. , 60 p.
Keyword [en]
Asset pricing, illiquidity, ILLIQ, Copenhagen Stock Exchange
National Category
Business Administration
Identifiers
URN: urn:nbn:se:umu:diva-46370OAI: oai:DiVA.org:umu-46370DiVA: diva2:437967
Uppsok
Social and Behavioural Science, Law
Supervisors
Examiners
Available from: 2011-08-31 Created: 2011-08-31 Last updated: 2011-08-31Bibliographically approved

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CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf