The dynamics of low-frequency liquidity measures: The developed versus the emerging market

Barbara Będowska-Sójka

Journal of Financial Stability, 2019, vol. 42, issue C, 136-142

Abstract: This paper examines the commonality in liquidity measures in two stock markets at different stage of development, the Deutsche Börse and the Warsaw Stock Exchange. Using daily data from 2001 to 2016 we show that for the stocks listed on the developed market there exists a strong interaction between Amihud illiquidity and high-low spreads within the whole sample. On the emerging market the interdependency between these measures strengthen as the stock market matures. Since 2008 the aggregate liquidity measures from both markets behave similarly suggesting that commonality in liquidity is strongly affected by the global risk factors. Although the transaction costs on both markets show similar dynamics, on the emerging market they are significantly higher. Both volatility and spreads induce an increase in trading activity. Higher volatility influences spreads.

Keywords: Liquidity; High-low range; High-low spread; Amihud illiquidity; VIX; Turnover (search for similar items in EconPapers)
JEL-codes: C33 C58 G12 G14 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finsta:v:42:y:2019:i:c:p:136-142

DOI: 10.1016/j.jfs.2019.05.006

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