Liquidity Measures and Cost of Trading in an Illiquid Market

Seth Armitage, Janusz Brzeszczyński and Anna Serdyuk
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Seth Armitage: Seth Armitage, University of Edinburgh Business School, 29 Buccleuch Place, Edinburgh, EH8 9JS, United Kingdom. E-mail: seth.armitage@ed.ac.uk
Janusz Brzeszczyński: Janusz Brzeszczyński (corresponding author), Department of Accounting and Financial Management, Newcastle Business School (NBS), Northumbria University, City Campus East, Newcastle-upon-Tyne, NE1 8ST, United Kingdom. E-mail: janusz.brzeszczynski@northumbria.ac.uk
Anna Serdyuk: Anna Serdyuk, University of Edinburgh Business School, 29 Buccleuch Place, Edinburgh, EH8 9JS, United Kingdom. E-mail: anna.serdyuk@yahoo.com
Authors registered in the RePEc Author Service: Janusz J. Brzeszczynski

Journal of Emerging Market Finance, 2014, vol. 13, issue 2, 155-196

Abstract: We provide the first in-depth study of trading on the Ukrainian stock exchange, using trade-by-trade data. Although Ukraine has some large listed companies, the market is quite illiquid. We study the efficiency of five liquidity measures in the market. The proportion of no-trading days is the most reliable of the five, while turnover, which is widely used in the literature, is a poor measure. On trading cost, trades in all size categories are executed within the quoted spread, as in other dealership markets, with medium-sized trades being the cheapest. The cost of sales is higher than the cost of purchases under all market conditions. JEL Classification: G15, C51

Keywords: Liquidity; cost of trading; emerging stock market; market microstructure; Ukraine (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:sae:emffin:v:13:y:2014:i:2:p:155-196

DOI: 10.1177/0972652714541340

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