Day-of-the-Week Effects in Liquidity on the Warsaw Stock Exchange

Nowak, Sabina; Olbryś, Joanna

doi:10.12775/dem.2015.003

Cited by 5 publications

(2 citation statements)

References 28 publications

(42 reference statements)

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“…The moving average is computed for the available data over the past 30 trading days. The empirical findings presented by Nowak and Olbryś (2015) unveil various day-ofthe-week patterns in liquidity on the WSE. Therefore, it is important to note that using the modified version of daily turnover (6) disentangles these dayof-the-week effects from daily turnover (Olbrys & Mursztyn, 2018b).…”

Section: Modified Daily Turnovermentioning

confidence: 85%

“…The stock turnover is defined as the ratio of the number of shares traded in a day to the number of shares outstanding at the end of the day. It is worthwhile to note that using turnover disentangles the effect of a firm's size from trading volume (Nowak & Olbryś, 2015). The market turnover is the ratio of the shares traded to market capitalization.…”

Section: Measuring Liquidity From Low Frequency Daily Datamentioning

confidence: 99%

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Intra-market commonality in liquidity: new evidence from the Polish stock exchange

Olbryś

2019

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Research background: Empirical market microstructure research has recently shifted its focus from the examination of liquidity of individual securities towards analyses of the common determinants and components of liquidity. The identification of commonality in liquidity emerged as a new and fast growing strand of the literature on liquidity. However, the results around the world are ambiguous and rather depend on a specific stock market. Purpose of the article: The aim of this study is to explore intra-market commonality in liquidity on the Warsaw Stock Exchange (WSE) by using daily proxies of six liquidity estimates: percentage relative spread, percentage realized spread, percentage price impact, percentage order ratio, modified turnover, and modified version of the Amihud measure. The sample covers a period from January 2005 to December 2016. The database contains the group of eighty-six WSE-listed companies. Methods: The research hypothesis that there is commonality in liquidity on the Polish stock market is tested. The OLS with the HAC covariance matrix estimation and the GARCH-type models are employed to infer the patterns of liquidity co-movements on the WSE. Moreover, because the sample period is quite long, the stability of the empirical results by time period is examined. Seven 6-year time windows are utilized in the study. Findings & Value added: The regression results reveal weak evidence of co-movements in liquidity on the WSE, regardless of the choice of the liquidity proxy. Furthermore, the robustness tests based on the time rolling-window approach do not unambiguously support the research hypothesis that there is commonality in liquidity on the Polish stock market. To the best of the author’s knowledge, the empirical findings presented here are novel and have not been reported in the literature thus far.

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Section: Modified Daily Turnovermentioning

confidence: 85%

Section: Measuring Liquidity From Low Frequency Daily Datamentioning

confidence: 99%