EconPapers    
Economics at your fingertips  
 

Measurement of stock market liquidity supported by an algorithm inferring the initiator of a trade

Joanna Olbrys and Michał Mursztyn ()

Operations Research and Decisions, 2017, vol. 27, issue 4, 111-127

Abstract: The aim of this study is to assess and analyse selected liquidity/illiquidity measures derived from high-frequency intraday data from the Warsaw Stock Exchange (WSE). As the side initiating a trade cannot be directly identified from a raw data set, firstly the Lee–Ready algorithm for inferring the initiator of a trade is employed to distinguish between so-called buyer- and seller-initiated trades. Intraday data for fifty-three WSE-listed companies divided into three size groups cover the period from January 3, 2005 to June 30, 2015. The paper provides an analysis of the robustness of the obtained results with respect to the whole sample and three consecutive subsamples, each of equal size: covering the precrisis, crisis, and post-crisis periods. The empirical results turn out to be robust to the choice of the period. Furthermore, hypotheses concerning the statistical significance of coefficients of correlation between the daily values of three liquidity proxies used in the study are tested.

Keywords: liquidity; algorithm for inferring the initiator of a trade; intraday data (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://ord.pwr.edu.pl/assets/papers_archive/1316%20-%20published.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:wut:journl:v:4:y:2017:p:111-127:id:1316

DOI: 10.5277/ord170406

Access Statistics for this article

More articles in Operations Research and Decisions from Wroclaw University of Science and Technology, Faculty of Management Contact information at EDIRC.
Bibliographic data for series maintained by Adam Kasperski ().

 
Page updated 2025-03-20
Handle: RePEc:wut:journl:v:4:y:2017:p:111-127:id:1316