State-Dependent Stock Liquidity Premium: The Case of the Warsaw Stock Exchange

Szymon Stereńczak
Additional contact information
Szymon Stereńczak: Department of Corporate Finance, Institute of Accounting and Finance Management, Poznań University of Economics and Business, 61-819 Poznań, Poland

IJFS, 2020, vol. 8, issue 1, 1-24

Abstract: The effect of stock liquidity on stock returns is well documented in the developed capital markets, while similar studies on emerging markets are still scarce and their results ambiguous. This paper aims to analyze the state-dependent variance of liquidity premium in the Polish stock market. The Polish capital market may serve as a benchmark for other emerging markets in the region of Central and Eastern Europe, hence the results of this research should be of great interest for investors and policy makers in Poland and other post-communist European countries. In the empirical, study a unique empirical methodology has been applied, which guarantees the uniqueness of the results obtained. The results obtained suggest that on the Polish stock market exists stock liquidity premium, which is statistically significant, but constitutes only a small fraction of returns. It also does not increase during periods of bearish market, what results from the lengthening of average holding period when market liquidity decreases.

Keywords: liquidity premium; Warsaw Stock Exchange; pricing of liquidity; liquidity costs; amortized liquidity costs (search for similar items in EconPapers)
JEL-codes: F2 F3 F41 F42 G1 G2 G3 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.mdpi.com/2227-7072/8/1/13/pdf (application/pdf)
https://www.mdpi.com/2227-7072/8/1/13/ (text/html)

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:gam:jijfss:v:8:y:2020:i:1:p:13-:d:329185

Access Statistics for this article

IJFS is currently edited by Ms. Hannah Lu

More articles in IJFS from MDPI
Bibliographic data for series maintained by MDPI Indexing Manager ().