Liquidity of the European Indices: The Developed Versus the Emerging Markets

Barbara Będowska-Sójka


The study is aimed to compare liquidity of indices on the European stock markets in different stage of development. The sample consists of the blue chips indices from several European markets classified by MSCI as developed or emerging. This paper investigates statistical time-series properties of liquidity proxies calculated for indices. Additionally the principal component analysis is used to extract the main factors lying behind the liquidity dynamics as well as the dendrograms that help to illustrate potential clusters in liquidity. We find that on the developed markets the liquidity proxies for indices behave similarly, while on emerging markets some differences are observed. Additionally, we find that long-memory of liquidity series is more pronounced in the developed than in the emerging markets.
Author Barbara Będowska-Sójka (WIiGE / KE)
Barbara Będowska-Sójka,,
- Department of Econometrics
Publication size in sheets0.55
Book Daszyńska-Żygadło Karolina, Bem Agnieszka, Ryszawska Bożena, Jáki Erika, Hajdíková Tatiana (eds.): Finance and Sustainability: Proceedings from the 2nd Finance and Sustainability Conference, Wroclaw 2018, Springer Proceedings in Business and Economics, vol. 11960, 2020, Springer, ISBN 978-3-030-34400-9, [978-3-030-34401-6], 364 p., DOI:10.1007/978-3-030-34401-6
Keywords in Polishpłynność, rynki kapitałowe, indeksy
Keywords in Englishliquidity, stock markets, indices
Languageen angielski
Score (nominal)20
Score sourcepublisherList
ScoreMinisterial score = 20.0, 04-02-2021, ChapterFromConference
Publication indicators WoS Citations = 3
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UwagiFirst Online: 05 February 2020
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