The Role of Liquidity Measures on Price Change Volatility: The use of GARCH framework on Copenhagen Stock Exchange
This paper is devoted to the actual questions beyond the liquidity-volatility relationship on Copenhagen Stock Exchange. The applied data set consists of daily index returns, turnover rates, proportional bid-ask spreads and illiquidity ratios over the period from 1 January 2009 to 31 December 2013 for the actively traded stocks comprised in the OMX C20 index. This study conducts the standard GARC