Liquidity Measurement Based on Bid-Ask Spread, Trading Frequency, and Liquidity Ratio: The Use of GARCH Model on Jakarta Stock Exchange (JSX)
This paper attempts to investigate and clarify previous studies on market liquidity measurement, which involve Bid-Ask Spread, Trading Frequency, and Liquidity Ratio variables. To strengthen our findings, we employ Volatility Models of ARCH and GARCH, as well as JSX daily, weekly, and monthly time series data. Our findings reveal that the observed variables are able to explain volatility magnitude of JSX in terms of liquidity. Volatility model incorporating Trading Frequency variable with monthly data is found the most suitable model for measuring liquidity of JSX.
|Date of creation:||Sep 2009|
|Date of revision:||Sep 2009|
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- Elena Andreou, 2004.
"The Impact of Sampling Frequency and Volatility Estimators on Change-Point Tests,"
Journal of Financial Econometrics,
Society for Financial Econometrics, vol. 2(2), pages 290-318.
- Elena Andreou & Eric Ghysels, 2004. "The Impact of Sampling Frequency and Volatility Estimators on Change-Point Tests," CIRANO Working Papers 2004s-25, CIRANO.
- Chris Brooks, 2005. "Autoregressive Conditional Kurtosis," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 3(3), pages 399-421.
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