How jumps affect liquidity? The evidence from Poland

Barbara Będowska-Sójka

Abstract

We examine the changes in liquidity measures around the price jumps detected in intraday returns. The sample consists of 5-minute returns from the most liquid stocks quoted on the Warsaw Stock Exchange. Within an event - study we show that the appearance of the jumps has a two - fold impact on the market liquidity. On the one hand, jumps coincide with the increase in the transaction costs measured by the quoted spread, and on the other hand jumps are accompanied by the increase in the trading quantity measured by trading volume or the number of trades. The price jumps also coincide with the increase in the Amihud’s illiquidity measure. All these effects are strong but short - lived, which constitutes the evidence for the market resiliency. Jumps are a result of the market inability to absorb huge orders without significant changes in the prices.
Author Barbara Będowska-Sójka (WIiGE / KE)
Barbara Będowska-Sójka,,
- Department of Econometrics
Journal seriesFinance A Uver-Czech Journal of Economics and Finance, ISSN 0015-1920, (A 15 pkt)
Issue year2017
Vol67
No1
Pages39-52
Publication size in sheets0.65
Keywords in Englishliquidity, jumps, intraday data, event study
ASJC Classification1402 Accounting; 2002 Economics and Econometrics; 2003 Finance
URL http://journal.fsv.cuni.cz/storage/1378_39_52_bedowska_final_issue_01_2017.pdf
Languageen angielski
Score (nominal)15
Score sourcejournalList
ScoreMinisterial score = 15.0, 11-03-2020, ArticleFromJournal
Publication indicators WoS Citations = 1; Scopus SNIP (Source Normalised Impact per Paper): 2017 = 0.653; WoS Impact Factor: 2017 = 0.563 (2) - 2017=0.631 (5)
Citation count*2 (2020-10-18)
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* presented citation count is obtained through Internet information analysis and it is close to the number calculated by the Publish or Perish system.
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