Liquidity Measurement Based on Bid-Ask Spread, Trading Frequency, and Liquidity Ratio: The Use of GARCH Model on Jakarta Stock Exchange (JSX)
Download full text from publisher
Other versions of this item:
- 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.
References listed on IDEAS
- 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.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- 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.
More about this item
KeywordsBid-Ask Spread; Trading Frequency; Liquidity Ratio; and ARCH/GARCH;
- G0 - Financial Economics - - General
NEP fieldsThis paper has been announced in the following NEP Reports:
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:unp:wpaper:200910. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Arief Anshory Yusuf). General contact details of provider: http://edirc.repec.org/data/lppadid.html .