Liquidity Effect on the Efficient Market Hypothesis: A Study on Market Efficiency
Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
This paper examines the effect a stock’s liquidity has on returns around quarterly earnings announcements. The extent of trade in a stock may affect returns on a short-term basis. We have sampled 64 stocks from the Stockholm Stock Exchange A-list with data stretching over a period of approximately three years. Of this total measurement period we have chosen a test period ranging from the 1st quarter 2001 through the 3rd quarter 2002. The material has been divided into three different liquidity groups and for each group statistical tests have been conducted in order to check for liquidity effects. Analyzing the results we found no support for a liquidity effect in our sample.
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IdentifiersURN: urn:nbn:se:su:diva-3702OAI: oai:DiVA.org:su-3702DiVA: diva2:193062