Essays about: "Tetiana Dzhumurat"

Found 2 essays containing the words Tetiana Dzhumurat.

1. 1. The Intraday Dynamics of Stock Returns and Trading Activity: Evidence from OMXS 30

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Veronika Lunina; Tetiana Dzhumurat; [2011]
   Keywords : intraday periodicity; return responses; trading volume; Business and Economics;

   Abstract : In this study we analyze the intraday behaviour of stock returns and trading volume using the data on OMXS 30 stocks. We find that returns follow a reverse J-shaped pattern with the peak at the beginning of the trading day, while trading volume attains its maximum towards at the market closure. READ MORE

3. 2. Asset-Specific and Systematic Liquidity on the Swedish Stock Market

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Tetiana Dzhumurat; Veronika Lunina; [2010]
   Keywords : systematic liquidity; characteristic liquidity; asset pricing; Fama-French model; Business and Economics;

   Abstract : This essay studies the effect of liquidity on stock returns on the Swedish stock market. Liquidity is addressed both as a market risk factor and an asset characteristics. We use the relative bid-ask spread as a proxy for liquidity level. READ MORE