Empirical Analysis

John Board, Alfonso Dufour, Yusuf Hartavi, Charles Sutcliffe and Stephen Wells
Additional contact information
John Board: Henley Business School, University of Reading
Yusuf Hartavi: Henley Business School, University of Reading
Stephen Wells: Henley Business School, University of Reading

Chapter 5 in Risk and Trading on London’s Alternative Investment Market: The Stock Market for Smaller and Growing Companies, 2015, pp 31-40 from Palgrave Macmillan

Abstract: Abstract We studied over 11 years of trades for AIM and Main Market stocks. The empirical analysis was conducted separately for two sample periods: from 2000 to 2004 and from 2005 to 2010. The first sample covers a phase of rapid growth and expansion for the AIM market whereas the second sample covers a phase of consolidation. A series of filters and adjustments were applied to the data. Every step of the data preparation process is justified and potential data selection biases are discussed.

Keywords: Sample Period; Elimination Process; Corporate Action; Relative Volatility; London Stock Exchange (search for similar items in EconPapers)
Date: 2015
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pal:palchp:978-1-137-36130-1_5

Ordering information: This item can be ordered from
http://www.palgrave.com/9781137361301

DOI: 10.1057/9781137361301_5

Access Statistics for this chapter

More chapters in Palgrave Macmillan Books from Palgrave Macmillan
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().