Empirical Studies of the Market Microstructure on the Swedish Stock Exchange
This thesis consists of five studies on empirical aspects of the market microstructure on the Stockholm Stock Exchange (StSE). The first study presents a stock pricing model which talkes trading and non-trading time effects into account. The model provides a framework for an empirical analysis of daily returns as well as trading/non-trading time returns of the OMX-index. The results show that the