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The Relationship Between Liquidity, Trading Activity and Return - Studies of the Finnish and Swedish Stock Markets

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dc.contributor Svenska handelshögskolan, Institutionen för finansiell ekonomi och ekonomisk statistik, finansiell ekonomi sv
dc.contributor Swedish School of Economics and Business Administration, Department of Finance and Statistics, Finance en
dc.contributor.author Westerholm, Joakim
dc.date.accessioned 2011-03-02T13:21:57Z
dc.date.available 2011-03-02T13:21:57Z
dc.date.issued 2002-09-06
dc.identifier.isbn 951-555-732-1
dc.identifier.uri http://hdl.handle.net/10227/81
dc.identifier.uri URN:ISBN:951-555-732-1
dc.description.abstract Liquidity, or how easy an investment is to buy or sell, is becoming increasingly important for financial market participants. The objective of this dissertation is to contribute to the understanding of how liquidity affects financial markets. The first essays analyze the actions taken by underwriters immediately after listing to improve liquidity of IPO stock. To estimate the impact of underwriter activity on the pricing of the IPOs, the order book during the first weeks of trading in the IPO stock is studied. Evidence of stabilization and liquidity enhancing activities by underwriters is found. The second half of the dissertation is concerned with the daily trading of stocks where liquidity may be impacted by policy issues such as changes in taxes or exchange fees and by opening the access to the markets for foreign investors. The desirability of a transaction tax on securities trading is addressed. An increase in transaction tax is found to cause lower prices and higher volatility. In the last essay the objective is to determine if the liquidity of a security has an impact on the return investors require. The results support the notion that returns are negatively correlated to liquidity. fi
dc.format.extent 1837 bytes
dc.format.extent 620033 bytes
dc.format.mimetype application/pdf
dc.format.mimetype text/plain
dc.language.iso en
dc.publisher Svenska handelshögskolan sv
dc.publisher Swedish School of Economics and Business Administration en
dc.relation.ispartofseries Economics and Society
dc.relation.ispartofseries 107
dc.rights Publikationen är skyddad av upphovsrätten. Den får läsas och skrivas ut för personligt bruk. Användning i kommersiellt syfte är förbjuden. sv
dc.rights This publication is copyrighted. You may download, display and print it for Your own personal use. Commercial use is prohibited. en
dc.rights Julkaisu on tekijänoikeussäännösten alainen. Teosta voi lukea ja tulostaa henkilökohtaista käyttöä varten. Käyttö kaupallisiin tarkoituksiin on kielletty. fi
dc.subject ipo fi
dc.subject market microstructure fi
dc.subject stabilization fi
dc.subject price support fi
dc.subject limit order book fi
dc.subject security transaction tax fi
dc.subject transaction cost fi
dc.subject transaction cost elasticity fi
dc.subject liquidity, asset pricing fi
dc.subject amortized spreads fi
dc.subject.other Finance fi
dc.title The Relationship Between Liquidity, Trading Activity and Return - Studies of the Finnish and Swedish Stock Markets fi
dc.type.ontasot Doctoral thesis en
dc.type.ontasot Väitöskirja fi
dc.type.ontasot Doktorsavhandling sv
dc.type.dcmitype Text
dc.date.accepted 2002-09-16

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