The dynamics of low-frequency liquidity measures: The developed versus the emerging market
AbstractThis 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.
|Journal series||Journal of Financial Stability, ISSN 1572-3089, e-ISSN 1878-0962, (N/A 140 pkt)|
|Publication size in sheets||0.5|
|Keywords in Polish||płynność, rozstęp cen high-low, spread, miara płynności Amihuda, wolumen obrotu|
|Keywords in English||liquidity, high-low range, high-low spread, Amihud illiquidity, VIX, turnover|
|Score||= 140.0, 03-04-2020, ArticleFromJournal|
|Publication indicators||= 0; : 2018 = 1.698; : 2017 = 2.032 (2) - 2017=2.517 (5)|
|Citation count*||2 (2020-06-26)|
* presented citation count is obtained through Internet information analysis and it is close to the number calculated by the Publish or Perish system.