Work detail

Are More Liquid Stocks Also More Efficient?

Author: Bc. Petr Kupka
Year: 2014 - summer
Leaders: prof. PhDr. Ladislav Krištoufek Ph.D.
Consultants:
Work type: Bachelors
Language: English
Pages: 62
Awards and prizes:
Link: https://is.cuni.cz/webapps/zzp/detail/136891/
Abstract: Liquidity and informationalefficiency are closely watched
features of financial markets. Together with stock exchange size effect, captured by market capitalization, this thesis
examines the triple of relationships among these three stock market properties. Applying methods of sequences and reversals ratio test, autocorrelation coefficient
test and variance ratio test provided us with 14 proxy measures of efficiencyfor each stock.
Daily prices and volumes traded for period 2003-
2013 of 206 stocks sampled from 22 stock exchanges were
used. The same data were used for Amihud illiquidity measure. The positive relationship between stock efficiency and liquidity was not strongly supported neither rejected. It turned
out that stock liquidity is very strongly positively dependent on size of stock exchange where is that particular
stock listed. It was also concluded that there are more e
fficient stocks listed in larger stock exchanged.
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