Sethy, Tapas Kumar; Tripathy, Nalini Prava - In: China Accounting and Finance Review 26 (2024) 2, pp. 253-275
return of the Indian equity market. It also examines the effects of illiquidity and decomposed illiquidity on the conditional … autoregressive conditional heteroscedastic (1,1) model to observe the impact of decomposed illiquidity on the equity market … return. The study's outcome specifies that illiquidity time series analysis exhibits the asymmetric effect of directional …