Change search
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf
A liquidity study on the Nasdaq OMX Stockholm exchange
KTH, School of Industrial Engineering and Management (ITM), Industrial Economics and Management (Dept.), Industrial Economics and Management (Div.).
KTH, School of Industrial Engineering and Management (ITM), Industrial Economics and Management (Dept.), Industrial Economics and Management (Div.).
2012 (English)Independent thesis Advanced level (degree of Master (Two Years)), 20 credits / 30 HE creditsStudent thesisAlternative title
En likviditetsstudie av Nasdaq OMX Stockholm Exchange (Swedish)
Abstract [en]

As the demand for liquidity risk management has increased, the importance of comprehensive liquidity assessments of exchanges has been highlighted. This thesis investigates the liquidity on the Nasdaq OMX Stockholm exchange by using daily end of day data. The transaction cost is evaluated using the Holden model and the price impact from trading is evaluated using the Illiq model. Considering the three segments; small cap, mid cap, and large cap, the results suggest that both the transaction cost and price impact is highest for small cap stocks and lowest for large cap stocks. It is also shown that the transaction cost has decreased between 2002-03-20 and 2012-01-06 for all three segments although the cost is increasing for the small cap segment again. No decrease in price impact over this time period could be found. The data behind the results has then been used to create a combined liquidity measure with the purpose of indicating the liquidity condition of a mutual fund. The combined measure can also be used to assess whether it is price impact or transaction cost that contributes most to the liquidity cost when liquidating stocks or reveal what stocks in a portfolio that are the most illiquid. It is hence suggested as a tool for assessing large portfolios.

Place, publisher, year, edition, pages
2012. , 68 p.
Series
Examensarbete INDEK, 2012:38
Keyword [en]
Stock liquidity, Liquidity risk, UCITS IV, Finance
National Category
Business Administration
Identifiers
URN: urn:nbn:se:kth:diva-100935OAI: oai:DiVA.org:kth-100935DiVA: diva2:545966
External cooperation
Handelsbanken
Subject / course
Finance
Educational program
Master of Science in Engineering - Industrial Engineering and Management
Presentation
2012-06-07, Sing Sing, Lindstedtsvägen 30, Stockholm, 21:32 (Swedish)
Uppsok
Social and Behavioural Science, Law
Supervisors
Examiners
Available from: 2012-08-22 Created: 2012-08-21 Last updated: 2012-08-22Bibliographically approved

Open Access in DiVA

liquidity study(1344 kB)614 downloads
File information
File name FULLTEXT01.pdfFile size 1344 kBChecksum SHA-512
883541b40bd6b43cce0e913cb7c06f8076b6578395aed0a6af139f571b128c6f989ae40261e5de9781e718397859c1aa0f0f3df3d45b06194eb947eedb3e10d7
Type fulltextMimetype application/pdf

By organisation
Industrial Economics and Management (Div.)
Business Administration

Search outside of DiVA

GoogleGoogle Scholar
Total: 614 downloads
The number of downloads is the sum of all downloads of full texts. It may include eg previous versions that are now no longer available

urn-nbn

Altmetric score

urn-nbn
Total: 889 hits
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf