The Effect of Stock Splits on Liquidity in a Dynamic Model
Speaker(s)Christian Hafner (UCL Louvain-la-Neuve, Belgium)
FieldEconometrics, Data Science
LocationUniversity of Amsterdam, Room E5.22
Date and time
November 24, 2023
12:30 - 13:30
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.