The coherence of liquidity measures. The evidence from the emerging market
AbstractThis 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.
|Journal series||Finance Research Letters, ISSN 1544-6123, e-ISSN 1544-6131, (A 15 pkt)|
|Publication size in sheets||0.5|
|Keywords in Polish||spready bid-ask, miary płynności, LOT, spread najwyższa-najniższa (cena), rozstęp najwyższa-najniższa|
|Keywords in English||Bid-ask spread, Liquidity proxy, LOT, High–low spread, High–low range|
|Score||= 15.0, 07-04-2020, ArticleFromJournal|
|Publication indicators||= 0; : 2018 = 0.854; : 2017 = 1.085 (2) - 2017=1.087 (5)|
|Citation count*||20 (2020-06-13)|
* presented citation count is obtained through Internet information analysis and it is close to the number calculated by the Publish or Perish system.