Liquidity and price volatility: Evidence from the Philippines and Thailand stock market from January to December 2006

• Main Authors: Lim, Carl Stephen, Tamayo, Deo Carlo, Velasco, Jennyleen
• Format: text
• Language: English
• Published: Animo Repository 2007
• Subjects: Stocks > Prices > Econometric models; Finance and Financial Management
• Online Access: https://animorepository.dlsu.edu.ph/etd_bachelors/9047
• Institution: De La Salle University

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...