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Seminar

The Effect of Stock Splits on Liquidity in a Dynamic Model


  • Series
    Econometrics Seminars and Workshop Series
  • Speaker(s)
    Christian Hafner (UCL Louvain-la-Neuve, Belgium)
  • Field
    Econometrics, Data Science and Econometrics
  • Location
    University 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.