Liquidity of the European Indices: The Developed Versus the Emerging Markets

Barbara Będowska-Sójka

A chapter in Finance and Sustainability, 2020, pp 249-260 from Springer

Abstract: Abstract The study is aimed to compare liquidity of indices on the European stock markets in different stage of development. The sample consists of the blue chips indices from several European markets classified by MSCI as developed or emerging. This paper investigates statistical time-series properties of liquidity proxies calculated for indices. Additionally the principal component analysis is used to extract the main factors lying behind the liquidity dynamics as well as the dendrograms that help to illustrate potential clusters in liquidity. We find that on the developed markets the liquidity proxies for indices behave similarly, while on emerging markets some differences are observed. Additionally, we find that long-memory of liquidity series is more pronounced in the developed than in the emerging markets.

Date: 2020
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:prbchp:978-3-030-34401-6_21

Ordering information: This item can be ordered from
http://www.springer.com/9783030344016

DOI: 10.1007/978-3-030-34401-6_21

Access Statistics for this chapter

More chapters in Springer Proceedings in Business and Economics from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().