Liquidity Measurement Based on Bid-Ask Spread, Trading Frequency, and Liquidity Ratio: The Use of GARCH Model on Jakarta Stock Exchange (JSX)
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- Erie Febrian & Aldrin Herwany, 2010. "Liquidity Measurement Based on Bid-Ask Spread, Trading Frequency, and Liquidity Ratio: The Use of GARCH Model on Jakarta Stock Exchange (JSX)," Working Papers in Business, Management and Finance 201003, Department of Management and Business, Padjadjaran University, revised Mar 2010.
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Cited by:
- Boško Živković & Jelena Minović, 2010. "Illiquidity of Frontier Financial Market: Case of Serbia," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 57(3), pages 349-367, September.
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More about this item
Keywords
Bid-Ask Spread; Trading Frequency; Liquidity Ratio; and ARCH/GARCH;All these keywords.
JEL classification:
- G0 - Financial Economics - - General
NEP fields
This paper has been announced in the following NEP Reports:- NEP-MST-2009-09-19 (Market Microstructure)
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