On The Relationship between Aggregate Market Return and Illiquidity of NIFTY

Som Sankar Sen


The present study has sought to investigate the relationship between daily NIFTY return and liquidity. The time series data used in this study is daily index of the NSE NIFTY for the period from March 3, 2003 to October 31, 2013. (a total of 2664 observations). The data have been obtained and downloaded from the websites www.rbi.org.in and www.nseindia.com. The TGARCH(1,1) model has been applied to model the conditional volatility. Other necessary statistics and econometric tools have also been used in proper places. The results of the investigation indicate that there exists a positive return-illiquidity relationship in the market during the study period.


Liquidity; Amihud ; Return; Volatility.

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