Liquidity and price volatility: Evidence from the Philippines and Thailand stock market from January to December 2006
Date of Publication
2007
Document Type
Bachelor's Thesis
Degree Name
Bachelor of Science in Management of Financial Institutions
Subject Categories
Finance and Financial Management
College
Ramon V. Del Rosario College of Business
Department/Unit
Financial Management
Defense Panel Member
Francis Alvin Asilo
Michael Ricafort
Abstract/Summary
This paper compares the level of liquidity and volatility in the Philippine and Thai stock market. By using the Market Efficient Coefficient model developed by Hasbrouck and Schwartz (1987) in determining the level of liquidity and volatility it is found out that the Thai stock market is more liquid and less volatile as compared to the Philippine stock market. Also, the significance of each of the variables is tested to determine which affects the liquidity and volatility.
Abstract Format
html
Language
English
Format
Accession Number
TU14220
Shelf Location
Archives, The Learning Commons, 12F, Henry Sy Sr. Hall
Physical Description
67 leaves : ill. ; 28 cm.
Keywords
Stocks--Prices--Econometric models
Recommended Citation
Lim, C., Tamayo, D., & Velasco, J. (2007). Liquidity and price volatility: Evidence from the Philippines and Thailand stock market from January to December 2006. Retrieved from https://animorepository.dlsu.edu.ph/etd_bachelors/9047
