On Stock Market Illiquidity of the NSE of India

Som Sankar Sen

The IUP Journal of Financial Economics, 2009, vol. VII, issue 3 & 4, 95-104

Abstract: Liquidity is one of the key ingredients of any stock market. Lack of liquidity or illiquidity is a concern to the investing community. This paper, using impact cost as a proxy to illiquidity, addresses a few key areas of stock market illiquidity of the National Stock Exchange (NSE) of India. Using autoregressive models, illiquidity shocks have been computed. Moreover, applying the GARCH model to illiquidity shocks, a series of conditional variances have also been calculated. Furthermore, a negative correlation has been found between illiquidity shocks and monthly market returns.

Date: 2009
References: Add references at CitEc
Citations: View citations in EconPapers (1)

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:icf:icfjfe:v:07:y:2009:i:3&4:p:95-104

Access Statistics for this article

More articles in The IUP Journal of Financial Economics from IUP Publications
Bibliographic data for series maintained by G R K Murty ().