Liquidity and price volatility: Evidence from the Philippines and Thailand stock market from January to December 2006
This paper compares the level of liquidity and volatility in the Philippine and Thai stock market. By using the Market Efficient Coefficient model developed by Hasbrouck and Schwartz (1987) in determining the level of liquidity and volatility it is found out that the Thai stock market is more liquid...
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| Main Authors: | , , |
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| Format: | text |
| Language: | English |
| Published: |
Animo Repository
2007
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| Subjects: | |
| Online Access: | https://animorepository.dlsu.edu.ph/etd_bachelors/9047 |
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| Institution: | De La Salle University |
| Language: | English |
| Summary: | This paper compares the level of liquidity and volatility in the Philippine and Thai stock market. By using the Market Efficient Coefficient model developed by Hasbrouck and Schwartz (1987) in determining the level of liquidity and volatility it is found out that the Thai stock market is more liquid and less volatile as compared to the Philippine stock market. Also, the significance of each of the variables is tested to determine which affects the liquidity and volatility. |
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