Commonality in Liquidity Indices: The Emerging European Stock Markets
Barbara Będowska-Sójka , Krzysztof Echaust
AbstractThe aim of the paper is to examine commonality in liquidity indices across emerging European stock markets. Five markets are included in the study: Hungarian, Czech, Polish, Russian and Turkish, in the period from 2008 to 2017. We propose liquidity indices that are based on low-frequency liquidity proxies and capture both the dynamics coming from volume and price changes. We find strong commonality of the liquidity indices across all examined markets which is robust to the choice of liquidity proxy. The dependence between indices enhances in times of crisis and large market declines, and weakens when markets become stable. We also examine the interdependency between liquidity and volatility estimates and find that liquidity on the European emerging markets is related to CBOE Volatility Index (VIX). Liquidity in the whole region decreases when VIX increases, and vice versa. The liquidity indices based on the extreme market movements show that there are no differences in commonality in time of extreme negative and positive returns.
|Journal series||Systems, ISSN 2079-8954, (N/A 40 pkt)|
|Publication size in sheets||0.85|
|Keywords in Polish||płynność, rynki wschodzące, wartości ekstremalne|
|Keywords in English||liquidity; co-movement; emerging markets; commonality; extremes|
|Score||= 40.0, 03-04-2020, ArticleFromJournal|
|Publication indicators||= 0|
|Citation count*||11 (2020-09-23)|
|Uwagi||Special Issue: Mathematical Models of Economic Systems|
* presented citation count is obtained through Internet information analysis and it is close to the number calculated by the Publish or Perish system.