The Impact of Market Risk Measure of the Company on the Company's Liquidity

Student: Minaeva Elizaveta

Supervisor: Sergey Victorovich Gelman

Faculty: International College of Economics and Finance

Educational Programme: Double degree programme in Economics of the NRU HSE and the University of London (Bachelor)

Year of Graduation: 2019

In this paper I check the hypothesis whether the market risk measure represented by the beta coefficient has an influence on the liquidity of the company represented by the slope (the liquidity measure introduced be Kyle 2004). In particular, the hypothesis is that for the ask-side the larger is the market risk level the lower is the liquidity and for the bid-side the larger is the market risk level the higher is the liquidity. The paper is based on the NYSE date for 2006-2012 years. I use the liquidity from the first to the tenth steps and from the second to the tenth steps. The results for these liquidities differ significantly, nevertheless, the interpretation of the estimation is very clear: the hypothesis is confirmed, the market risk measure really has declared influence on the liquidity of the companies.

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