Liquidity and stock returns in order driven Asian markets : evidence from the Singapore stock market

We study the relationship between liquidity and stock returns in the pure order driven Singapore stock exchange using the Restricted Seemingly Unrelated Regression (SURE). The aim of the study is to determine if a liquidity premium exists. The adjusted bid-ask spread and adjusted turnover are used a...

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Bibliographic Details
Main Authors:	Ang, Andy Seng Chong, Low, Gerald Kang Herng, Tan, Mei Ching
Other Authors:	Young, Martin Robert
Format:	Final Year Project
Published:	2008
Subjects:	DRNTU::Business::Finance::Stock exchanges
Online Access:	http://hdl.handle.net/10356/8597
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Institution:	Nanyang Technological University

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spelling	sg-ntu-dr.10356-85972023-05-19T06:08:59Z Liquidity and stock returns in order driven Asian markets : evidence from the Singapore stock market Ang, Andy Seng Chong Low, Gerald Kang Herng Tan, Mei Ching Young, Martin Robert Nanyang Business School DRNTU::Business::Finance::Stock exchanges We study the relationship between liquidity and stock returns in the pure order driven Singapore stock exchange using the Restricted Seemingly Unrelated Regression (SURE). The aim of the study is to determine if a liquidity premium exists. The adjusted bid-ask spread and adjusted turnover are used as proxies for liquidity. 2008-09-24T07:23:01Z 2008-09-24T07:23:01Z 2002 2002 Final Year Project (FYP) http://hdl.handle.net/10356/8597 Nanyang Technological University application/pdf
institution	Nanyang Technological University
building	NTU Library
continent	Asia
country	Singapore Singapore
content_provider	NTU Library
collection	DR-NTU
topic	DRNTU::Business::Finance::Stock exchanges
spellingShingle	DRNTU::Business::Finance::Stock exchanges Ang, Andy Seng Chong Low, Gerald Kang Herng Tan, Mei Ching Liquidity and stock returns in order driven Asian markets : evidence from the Singapore stock market
description	We study the relationship between liquidity and stock returns in the pure order driven Singapore stock exchange using the Restricted Seemingly Unrelated Regression (SURE). The aim of the study is to determine if a liquidity premium exists. The adjusted bid-ask spread and adjusted turnover are used as proxies for liquidity.
author2	Young, Martin Robert
author_facet	Young, Martin Robert Ang, Andy Seng Chong Low, Gerald Kang Herng Tan, Mei Ching
format	Final Year Project
author	Ang, Andy Seng Chong Low, Gerald Kang Herng Tan, Mei Ching
author_sort	Ang, Andy Seng Chong
title	Liquidity and stock returns in order driven Asian markets : evidence from the Singapore stock market
title_short	Liquidity and stock returns in order driven Asian markets : evidence from the Singapore stock market
title_full	Liquidity and stock returns in order driven Asian markets : evidence from the Singapore stock market
title_fullStr	Liquidity and stock returns in order driven Asian markets : evidence from the Singapore stock market
title_full_unstemmed	Liquidity and stock returns in order driven Asian markets : evidence from the Singapore stock market
title_sort	liquidity and stock returns in order driven asian markets : evidence from the singapore stock market
publishDate	2008
url	http://hdl.handle.net/10356/8597
_version_	1770563485571219456

Liquidity and stock returns in order driven Asian markets : evidence from the Singapore stock market

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