How Jumps Affect Liquidity? The Evidence from Poland

Barbara Będowska-Sójka

Czech Journal of Economics and Finance (Finance a uver), 2017, vol. 67, issue 1, 39-52

Abstract: We examine the changes in liquidity measures around the price jumps detected in intraday returns. The sample consists of 5-minute returns from the most liquid stocks quoted on the Warsaw Stock Exchange. Within an event-study we show that the appearance of the jumps has a two-fold impact on the market liquidity. On the one hand, jumps coincide with the increase in the transaction costs measured by the quoted spread, and on the other hand jumps are accompanied by the increase in the trading quantity measured by trading volume or the number of trades. The price jumps also coincide with the increase in the Amihud’s illiquidity measure. All these effects are strong but short-lived, which constitutes the evidence for the market resiliency. Jumps are a result of the market inability to absorb huge orders without significant changes in the prices.

Keywords: liquidity; jumps; intraday data; event study (search for similar items in EconPapers)
JEL-codes: C25 C58 G14 (search for similar items in EconPapers)
Date: 2017
References: Add references at CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://journal.fsv.cuni.cz/storage/1378_bedowska_final_issue_01_2017.pdf (application/pdf)

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:fau:fauart:v:67:y:2017:i:1:p:39-52

Access Statistics for this article

More articles in Czech Journal of Economics and Finance (Finance a uver) from Charles University Prague, Faculty of Social Sciences Contact information at EDIRC.
Bibliographic data for series maintained by Natalie Svarcova ().