The causality between liquidity and volatility in the Polish stock market
Barbara Będowska-Sójka , Agata Kliber
AbstractWe study dependencies between liquidity and volatility in the causality framework for stocks listed on the Warsaw Stock Exchange. Using Toda-Yamamoto and Granger causality tests we find bidirectional causality between the measures. The causal liquidity-volatility relation is more often observed than volatility-liquidity one, and both relations are frequently asymmetric. The directional spillover index suggests, that the fraction of forecast error variance due to the shock in other measure is much smaller than the response to own shocks. The choice of proxies matters: among different alternatives we find that high-low range is most often Granger cause for volatility.
|Journal series||Finance Research Letters, ISSN 1544-6123, e-ISSN 1544-6131, (N/A 70 pkt)|
|Publication size in sheets||0.5|
|Keywords in Polish||zmienność, wariancja warunkowa, zmienność zrealizowana, przyczynowość w sensie Grangera|
|Keywords in English||Volatility; Conditional variance; Realized variance; Illiquidity; Range; Granger causality|
|Score||= 70.0, 03-04-2020, ArticleFromJournal|
|Publication indicators||= 0; : 2018 = 0.854; : 2017 = 1.085 (2) - 2017=1.087 (5)|
|Citation count*||9 (2020-07-01)|
* presented citation count is obtained through Internet information analysis and it is close to the number calculated by the Publish or Perish system.