On Some Characteristics of Liquidity Proxy Time Series. Evidence from the Polish Stock Market

Olbryś, Joanna; Mursztyn, Michal

doi:10.1007/978-3-030-02194-8_13

Cited by 5 publications

(4 citation statements)

References 29 publications

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“…In this research, two data samples are used (Olbrys & Mursztyn, 2018b). The first sample contains daily data (available at www.bossa.pl) for the group of eighty-six WSE-traded companies, in the period from January 2, 2005 to December 30, 2016 (3005 trading days).…”

Section: Data Description and Results Of Commonality In Liquidity On mentioning

confidence: 99%

“…This happens when the daily cumulative volumes of trading related to transactions classified as buyer-and seller-initiated trades, respectively, are equal. The value of daily order ratio is defined to be equal to zero in the following two cases: (1) when all of the transactions within a day are unclassified, or (2) when the total volume of daily trading, in the denominator, is equal to zero (Olbrys & Mursztyn, 2018b).…”

Section: Percentage Order Ratiomentioning

confidence: 99%

“…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: 99%

“…These proxies are: the modified daily turnover and the modified version of daily Amihud (2002) measure. All liquidity/illiquidity proxy time series utilized in this study have been previously assessed on the account of their various statistical properties and usefulness for commonality in liquidity investigation on the WSE (Olbrys & Mursztyn, 2018b).…”

Section: Introductionmentioning

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: Data Description and Results Of Commonality In Liquidity On mentioning

confidence: 99%

Section: Percentage Order Ratiomentioning

confidence: 99%