The Influence of Liquidity on Informational Efficiency: The Case of the Thai Stock Market

@article{Bariviera2011TheIO,
  title={The Influence of Liquidity on Informational Efficiency: The Case of the Thai Stock Market},
  author={Aurelio Fern{\'a}ndez Bariviera},
  journal={Econometric Modeling: International Financial Markets - Emerging Markets eJournal},
  year={2011}
}
  • A. F. Bariviera
  • Published 1 November 2011
  • Economics
  • Econometric Modeling: International Financial Markets - Emerging Markets eJournal
View on SSRN
doi.org
27 Citations
Background Citations
11
Methods Citations
5

27 Citations

Citation Type

Citation Type

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References

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Abstract.We explore the deviations from efficiency in the returns and volatility returns of Latin-American market indices. Two different approaches are considered. The dynamics of the Hurst exponent…
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We present a set of stylized empirical facts emerging from the statistical analysis of price variations in various types of financial markets. We first discuss some general issues common to all…
Long Term Dependence in Stock Returns
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