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Seminar – The effect of stock splits on liquidity in a dynamic model

Tinbergen Institute

We develop a methodology to detect the occurrence of permanent and transitory breaks in the illiquidity process. We demonstrate the model performance and its empirical relevance with an application. Specifically, we use this framework to study the impact of stock splits on the illiquidity dynamics of the Dow Jones index component stocks.


  • Christian Hafner (Université catholique de Louvain)


Roetersstraat 11,
1018 WB Amsterdam