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:
Online Access:http://hdl.handle.net/10356/8597
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Institution: Nanyang Technological University
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