The coherence of liquidity measures. The evidence from the emerging market

Barbara Będowska-Sójka

Finance Research Letters, 2018, vol. 27, issue C, 118-123

Abstract: This study examines the coherence of liquidity measures for 52 stocks listed on the Warsaw Stock Exchange. Using measures widely employed in the developed markets, we show that Amihud illiquidity best reflects the bid-ask spread calculated from the transaction data, followed by the high–low range and the high–low spread estimator. We find that the introduction of UTP system in 2013 caused the decrease in transaction cost. The interdependencies between proxies and bid-ask spreads are weaker than in developed markets, but they strengthen within the time.

Keywords: Bid-ask spread; Liquidity proxy; LOT; High–low spread; High–low range (search for similar items in EconPapers)
JEL-codes: C58 G12 G14 (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (9)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1544612317305433
Full text for ScienceDirect subscribers only

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:eee:finlet:v:27:y:2018:i:c:p:118-123

DOI: 10.1016/j.frl.2018.02.014

Access Statistics for this article

Finance Research Letters is currently edited by R. Gençay

More articles in Finance Research Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().