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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: G12 G14 C58 (search for similar items in EconPapers)
Date: 2018
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Handle: RePEc:eee:finlet:v:27:y:2018:i:c:p:118-123