Commonality in Liquidity Indices: The Emerging European Stock Markets

Barbara Będowska-Sójka , Krzysztof Echaust

Abstract

The 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.
Author Barbara Będowska-Sójka (WIiGE / KE)
Barbara Będowska-Sójka,,
- Department of Econometrics
, Krzysztof Echaust (WIiGE / KBO)
Krzysztof Echaust,,
- Department of Operations Research
Journal seriesSystems, ISSN 2079-8954, (N/A 40 pkt)
Issue year2019
Vol7
No2
Pages1-18
Publication size in sheets0.85
Keywords in Polishpłynność, rynki wschodzące, wartości ekstremalne
Keywords in Englishliquidity; co-movement; emerging markets; commonality; extremes
DOIDOI:10.3390/systems7020024
URL https://www.mdpi.com/2079-8954/7/2/24/htm
Languageen angielski
Score (nominal)40
Score sourcejournalList
ScoreMinisterial score = 40.0, 03-04-2020, ArticleFromJournal
Publication indicators WoS Citations = 0
Citation count*11 (2020-09-23)
Additional fields
UwagiSpecial Issue: Mathematical Models of Economic Systems
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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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