Minović, Jelena and Živković, Boško (2010) Open issues in testing liquidity in frontier financial markets: the case of Serbia. Ekonomski anali, 55 (185). pp. 33-62. ISSN 0013-3264
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Abstract
This paper examines the
impact of illiquidity and liquidity risk on
expected asset returns in the Serbian stock
market. For this market we estimate the
conditional Liquidity-adjusted Capital
Asset Pricing Model (LCAPM) of Acharya
and Pedersen (2005). We use daily data
for the period from 2005-2009. While the
method developed is applicable in other
markets this is the first paper that tests
the LCAPM model in the case of Serbia. Liquidity risks are allowed to be timevarying.
We find that for the Serbian
market as a frontier market illiquidity and
liquidity risk significantly impact price
formation. For such a market the LCAPM
may indeed be a good tool for realistic
assessment of the expected asset returns.
| Item Type: | Article |
|---|---|
| Additional Information: | COBISS.ID=1024411280 |
| Uncontrolled Keywords: | frontier market, conditional liquidity-adjusted CAPM, illiquidity, liquidity risk |
| Research Department: | Macroeconomics Other |
| Depositing User: | Jelena Banovic |
| Date Deposited: | 22 Sep 2016 18:25 |
| Last Modified: | 18 May 2020 19:02 |
| URI: | http://35.240.28.64/id/eprint/700 |
| Author Links: |
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