Determinants of commonality in liquidity: Evidence from an order-driven emerging market

Syamala, Sudhakara Reddy; Wadhwa, Kavita; Goyal, Abhinav

doi:10.1016/j.najef.2017.07.003

Cited by 13 publications

(5 citation statements)

References 27 publications

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“…In addition, Hvozdyk and Rustanov (2016) found that the introduction of financial transaction tax improved market liquidity, whereas its actual implementation increased transaction cost and thereby lowered the liquidity levels. Concerning the emerging market, Reddy et al (2017) studied and found that the Indian stock market liquidity is highly influenced by the policies announced by its government and financial institutions. On the contrary, Sensoy (2016) and Ekinci et al (2019) documented that emerging market is very sensitive to the announcements made by developed economies.…”

Section: Measurement Of Stock Market Liquiditymentioning

confidence: 99%

Stock Market Liquidity: A Literature Review

Naik

Reddy

2021

Sage Open

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The purpose of this study is to identify the key aspects that have been studied in the area of stock market liquidity, accumulate their important findings, and also provide a quantitative categorization of reviewed literature that will facilitate in conducting further research. The study analyzes relevant research papers published after the global financial crisis of 2008 and finds that measurement of liquidity, factors influencing liquidity, the relationship between market liquidity and expected return, and market liquidity risk and its relationship with expected returns have been explored in the context of the stock market liquidity. Among these, the factors influencing liquidity have been prominently researched in the reviewed studies. The study concludes that the identified areas can be potentially researched concerning the emerging markets by considering the multidimensional quality of market liquidity. Also, the inter-linkages between the liquidity of emerging markets with that of the global stock markets can be further evaluated.

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Section: Measurement Of Stock Market Liquiditymentioning

confidence: 99%

Stock Market Liquidity: A Literature Review

Naik

Reddy

2021

Sage Open

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“…Sensoy (2016) documented that the U.S. monetary policy and macroeconomic announcements affected commonality in liquidity on the Turkish stock market. Syamala et al (2017) investigated a pure order-driven emerging market in India, and they discerned determinants of commonality in liquidity on this market. Hadhri and Ftiti (2019) studied 11 emerging markets from the Middle East and North Africa.…”

Section: Discussionmentioning

confidence: 99%

Assessing Commonality in Liquidity with Principal Component Analysis: The Case of the Warsaw Stock Exchange

Olbryś

Majewska

2020

JRFM

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The studies concerning commonality in liquidity on emerging markets in Central and Eastern Europe are scarce and, in particular, they do not utilize the Principal Component Analysis (PCA) to identify latent factors in liquidity. Therefore, the main aim of this research is to assess commonality in liquidity on the Warsaw Stock Exchange (WSE) with the use of the PCA to extract common components of liquidity across a sample of stocks, and from a set of several liquidity proxies. The robustness tests within the whole sample and sub-periods are provided. The PCA results reveal that common latent factors in liquidity estimates exist on the Polish stock market, and three principal components are sufficient to substitute for the seven liquidity proxies utilized in this research. The regressions using these three principal components of liquidity proxies as latent factors in the market model of liquidity indicate no evidence of co-movements in liquidity on the WSE. The results are homogenous for all investigated periods so no reason has been found to reject the research hypothesis that commonality in liquidity does not exist on the Polish stock market. To the best of the authors’ knowledge, no similar research has been conducted for the WSE thus far.

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“…Narayan et al (2015) found strong support for commonality in liquidity on the Chinese stock exchanges in Shanghai and Shenzhen. Syamala et al (2017) analyzed the Indian stock market, and presented evidence for both supply-side and demand-side factors that contribute to liquidity commonality. Wang (2013) examined the impact of a set of common factors on liquidity variations on eight emerging equity markets in Asia, namely China, India, Indonesia, Korea, Malaysia, the Philippines, Taiwan, and Thailand.…”

Section: Commonality In Liquidity On Emerging Marketsmentioning

confidence: 99%

No Commonality in Liquidity on Small Emerging Markets? Evidence from the Central and Eastern European Stock Exchanges

Olbryś

2020

CER

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The goal of this comparative research is to investigate intra-market commonality in liquidity on six small emerging Central and Eastern European (CEE) stock exchanges – in the Czech Republic, Hungary, Slovakia, Lithuania, Estonia, and Latvia. The CEE post-communist countries can be analyzed together as they are geographically close, and the stock markets are relatively similar. Three measures based on daily data are utilized as liquidity/illiquidity proxies: (1) a modified version of the Amihud (2002) measure, (2) the percentage relative spread, and (3) the Corwin-Schultz (2012) high-low two-day spread estimator. The OLS regression with the HAC covariance matrix estimation and the GARCH-type models are employed to explore the patterns of market-wide commonality in liquidity on the CEE stock exchanges. The main value-added comes from the methodology and the novel empirical findings. To the best of the author’s knowledge, this is the first study that investigates commonality in liquidity in the aforementioned group of countries using three liquidity proxies and the time rolling-window approach to provide robustness tests. The regressions reveal no pronounced evidence of co-movements in liquidity within the CEE markets, taken separately. What is important, the empirical results are homogeneous for all investigated markets. Therefore, no reason has been found to reject the research hypothesis that there is no commonality in liquidity on each individual market. This paper aspires to fill the gap in the knowledge of liquidity patterns on the CEE emerging markets.

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Determinants of commonality in liquidity: Evidence from an order-driven emerging market

Cited by 13 publications

References 27 publications

Stock Market Liquidity: A Literature Review

Stock Market Liquidity: A Literature Review

Assessing Commonality in Liquidity with Principal Component Analysis: The Case of the Warsaw Stock Exchange

No Commonality in Liquidity on Small Emerging Markets? Evidence from the Central and Eastern European Stock Exchanges

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