The coherence of liquidity measures. The evidence from the emerging market

Barbara Będowska-Sójka

Abstract

This study examines the coherence of liquidity measures for 52 stocks listed on the Warsaw Stock Exchange. Using measures widely employed in the developed markets, we show that Amihud illiquidity best reflects the bid-ask spread calculated from the transaction data, followed by the high–low range and the high–low spread estimator. We find that the introduction of UTP system in 2013 caused the decrease in transaction cost. The interdependencies between proxies and bid-ask spreads are weaker than in developed markets, but they strengthen within the time.
Author Barbara Będowska-Sójka (WIiGE / KE)
Barbara Będowska-Sójka,,
- Department of Econometrics
Journal seriesFinance Research Letters, ISSN 1544-6123, e-ISSN 1544-6131, (A 15 pkt)
Issue year2018
Vol27
Pages118-123
Publication size in sheets0.5
Keywords in Polishspready bid-ask, miary płynności, LOT, spread najwyższa-najniższa (cena), rozstęp najwyższa-najniższa
Keywords in EnglishBid-ask spread, Liquidity proxy, LOT, High–low spread, High–low range
ASJC Classification2003 Finance
DOIDOI:10.1016/j.frl.2018.02.014
URL https://doi.org/10.1016/j.frl.2018.02.014
Languageen angielski
Score (nominal)15
Score sourcejournalList
ScoreMinisterial score = 15.0, 07-04-2020, ArticleFromJournal
Publication indicators WoS Citations = 0; Scopus SNIP (Source Normalised Impact per Paper): 2018 = 0.854; WoS Impact Factor: 2017 = 1.085 (2) - 2017=1.087 (5)
Citation count*20 (2020-06-13)
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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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