 The returns, risk and liquidity relationship in high frequency trading: Evidence from the Oslo stock marketMinh Thi Hong Dinh Research in International Business and Finance, 2017, vol. 39, issue PA, 30-40 Abstract: The main purpose of this research is to investigate the relationship between returns, risk, and liquidity in high frequency trading. Panel analysis for single stocks is employed to investigate this relationship. The empirical results imply that in high frequency trading idiosyncratic risk plays a more pronounced role than systematic risk in asset pricing. First, idiosyncratic risk and liquidity have a highly significant impact on returns. Second, no evidence has been found for a significant relationship between systematic risk and returns. Finally, liquidity has a higher significant effect on idiosyncratic risk than systematic risk. The empirical results of the paper contribute to the previous literature in the high frequency context. Some previous literature suggests that idiosyncratic risk has a matter on low frequency trading, but has not yet investigated its effects on high frequency trading. Keywords: CAPM; Systematic risk; Idiosyncratic risk; Cross-sectional returns; Intraday sample; Panel analysis (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:39:y:2017:i:pa:p:30-40 DOI: 10.1016/j.ribaf.2016.07.013 Access Statistics for this article Research in International Business and Finance is currently edited by T. Lagoarde Segot More articles in Research in International Business and Finance from Elsevier |
Is your work missing from RePEc? Here is how to contribute.
Questions or problems? Check the EconPapers FAQ or send mail to .
EconPapers is hosted by the
School of Business at Örebro University.