The dynamics of low-frequency liquidity measures: The developed versus the emerging market

Barbara Będowska-Sójka

Abstract

This paper examines the commonality in liquidity measures in two stock markets at different stage of development, the Deutsche Börse and the Warsaw Stock Exchange. Using daily data from 2001 to 2016 we show that for the stocks listed on the developed market there exists a strong interaction between Amihud illiquidity and high-low spreads within the whole sample. On the emerging market the interdependency between these measures strengthen as the stock market matures. Since 2008 the aggregate liquidity measures from both markets behave similarly suggesting that commonality in liquidity is strongly affected by the global risk factors. Although the transaction costs on both markets show similar dynamics, on the emerging market they are significantly higher. Both volatility and spreads induce an increase in trading activity. Higher volatility influences spreads.
Author Barbara Będowska-Sójka (WIiGE / KE)
Barbara Będowska-Sójka,,
- Department of Econometrics
Journal seriesJournal of Financial Stability, ISSN 1572-3089, e-ISSN 1878-0962, (N/A 140 pkt)
Issue year2019
Vol42
Pages136-142
Publication size in sheets0.5
Keywords in Polishpłynność, rozstęp cen high-low, spread, miara płynności Amihuda, wolumen obrotu
Keywords in Englishliquidity, high-low range, high-low spread, Amihud illiquidity, VIX, turnover
ASJC Classification2000 General Economics, Econometrics and Finance; 2003 Finance
DOIDOI:10.1016/j.jfs.2019.05.006
URL https://www.sciencedirect.com/science/article/pii/S1572308919303110
Languageen angielski
Score (nominal)140
Score sourcejournalList
ScoreMinisterial score = 140.0, 03-04-2020, ArticleFromJournal
Publication indicators WoS Citations = 0; Scopus SNIP (Source Normalised Impact per Paper): 2018 = 1.698; WoS Impact Factor: 2017 = 2.032 (2) - 2017=2.517 (5)
Citation count*2 (2020-06-26)
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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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