Liquidity Measures and Cost of Trading in an Illiquid Market

Armitage, Seth; Brzeszczyński, Janusz; Serdyuk, Anna

doi:10.1177/0972652714541340

Cited by 4 publications

(7 citation statements)

References 47 publications

(122 reference statements)

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“…In conclusion the contributors stated that these indicators are good enough to measure liquidity for Ukraine. The findings of Armitage et al (2014) regarding turnover are in line with those of Lesmond et al (1999) for other emerging markets. In addition, they found that the proportion of zero-return days is a better measure for emerging markets than for developed markets.…”

Section: Literature Reviewsupporting

confidence: 81%

“…Bid-ask spread was used as a benchmark measure. Armitage et al (2014) in contribution based on empirical data for Ukraine (2005)(2006) found that the proportion of nontrading days, the proportion of zero-return days, stock volatility, and measure of Amihud (2002) exhibit high correlations with this spread. In conclusion the contributors stated that these indicators are good enough to measure liquidity for Ukraine.…”

Section: Literature Reviewmentioning

confidence: 99%

“…In their studies of the determinants of the cost of trading, Armitage et al (2014), Stoll (2000), Naik and Yadav (2003) and Gajewski and Gresse (2007) proved that the effective bid-ask spreads mentioned above depend on stock liquidity. Stock liquidity was measured by the number of non-trading days per year and the average number of trades per day.…”

Section: Literature Reviewmentioning

confidence: 99%

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Modelling bid-ask spread conditional distributions using hierarchical correlation reconstruction

Duda

Gurgul

Syrek

2020

Statistics in Transition New Series

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While we would like to predict exact values, the information available, being incomplete, is rarely sufficient - usually allowing only conditional probability distributions to be predicted. This article discusses hierarchical correlation reconstruction (HCR) methodology for such a prediction using the example of bid-ask spreads (usually unavailable), but here predicted from more accessible data like closing price, volume, high/low price and returns. Using HCR methodology, as in copula theory, we first normalized marginal distributions so that they were nearly uniform. Then we modelled joint densities as linear combinations of orthonormal polynomials, obtaining their decomposition into mixed moments. Then we modelled each moment of the predicted variable separately as a linear combination of mixed moments of known variables using least squares linear regression. By combining these predicted moments, we obtained the predicted density as a polynomial, for which we can e.g. calculate the expected value, but also the variance to determine the uncertainty of the prediction, or we can use the entire distribution for, e.g. more accurate further calculations or generating random values. 10-fold cross-validation log-likelihood tests were conducted for 22 DAX companies, leading to very accurate predictions, especially when individual models were used for each company, as significant differences were found between their behaviours. An additional advantage of using this methodology is that it is computationally inexpensive; estimating and evaluating a model with hundreds of parameters and thousands of data points by means of this methodology takes only a second on a computer.

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Section: Literature Reviewsupporting

confidence: 81%

Section: Literature Reviewmentioning

confidence: 99%

Section: Literature Reviewmentioning

confidence: 99%

See 1 more Smart Citation

Modelling bid-ask spread conditional distributions using hierarchical correlation reconstruction

Duda

Gurgul

Syrek

2020

Statistics in Transition New Series

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“…The empirical measurement of information asymmetry is difficult since it is indirectly perceptible (Abad et al, 2018). Consistent with prior studies (Khan, 2021;Abad et al, 2018;Armitage et. al, 2014), model (3) measures the effect IFRS adoption on mitigating information asymmetry problem.…”

Section: Models and Variablessupporting

confidence: 65%

Adopting IFRS as a Moderating Variable on the Relationship Between Accounting Information and Market Responses

Deef

Radi

2022

International Journal of Customer Relationship Marketing and Management

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The purpose of this paper is to examine the impact of adopting International Financial Reporting Standards (IFRS) on the relationship between accounting information and market responses. We investigate the impact of the IFRS adoption on financial statements quality and whether this impact, if any, has a positive implication of the capital market (especially, market liquidity and equity value). Data were collected from 147 non- financial firms listed on the Saudi exchange for the period 2015-2019. The findings show that disclosure quality has increased because of IFRS adoption. Moreover, the results find that the adoption of IFRS improves market liquidity and increases the share price of firms listed on the Saudi exchange. Our findings show that adopting IFRS have positive economic implications on the Saudi business environment.

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“…Among this small number of papers, Korczak and Bohl (2005) investigate the changes in the domestic market stock prices and trading volume around depositary receipts issuance on a sample of the Czech, Hungarian, Polish, Russian, Slovak and Slovenian stocks. Armitage et al (2014) study trading on the Ukrainian stock exchange using trade-by-trade data. In particular, they investigate the efficiency of various liquidity measures.…”

Section: International Monetary Fund Newsmentioning

confidence: 99%

Investor response to public news, sentiment and institutional trading in emerging markets: A review

Brzeszczyński

Gajdka

Kutan

2015

International Review of Economics & Finance

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This paper reviews the literature on investor reaction and sentiment with respect to public information arrival in emerging markets and discusses the implications of the findings for the validity of theoretical models emphasizing public information arrival as the main mover of asset prices. We cover three types of public information news: monetary policy announcements, the International Monetary Fund (IMF) related news and other public and political news. In addition, we review the literature on sentiment and institutional trading in emerging markets. We summarize general findings and suggest some directions for further research.

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Liquidity Measures and Cost of Trading in an Illiquid Market

Cited by 4 publications

References 47 publications

Modelling bid-ask spread conditional distributions using hierarchical correlation reconstruction

Modelling bid-ask spread conditional distributions using hierarchical correlation reconstruction

Adopting IFRS as a Moderating Variable on the Relationship Between Accounting Information and Market Responses

Investor response to public news, sentiment and institutional trading in emerging markets: A review

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