Seminar
The Effect of Stock Splits on Liquidity in a Dynamic Model
-
SeriesEconometrics Seminars and Workshop Series
-
SpeakersChristian Hafner (UCL Louvain-la-Neuve, Belgium)
-
FieldEconometrics, Data Science and Econometrics
-
LocationUniversity of Amsterdam, Room E5.22
Amsterdam -
Date and time
November 24, 2023
12:30 - 13:30
Abstract
We develop a methodology to detect the
occurrence of permanent and transitory breaks in the illiquidity process.
We demonstrate the model performance and its empirical relevance with an
application. Specifically, we use this framework to study the impact of stock splits
on the illiquidity dynamics of the Dow Jones index component stocks.