Analysis of Value Papers' Liquidity Listed with WARSET System

Przemysław Garsztka (), Przemysław Matuszewski and Karol Wieloch ()
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Przemysław Garsztka: Poznań University of Economics and Business, Poland
Przemysław Matuszewski: Poznań University of Economics and Business, Poland
Karol Wieloch: Poznań University of Economics and Business, Poland

Chapter 15 in Acta Universitatis Lodziensis. Folia Oeconomica nr 166/2003 - Modern Methods of Analysis and Forecasting Financial Markets, 2003, vol. 166, pp 225-239 from University of Lodz

Abstract: In the most of papers dealing with capital markets, their authors concentrate mainly on the price of value papers rather than on their liquidity. In the paper the new measure of the liquidity is proposed. This measure is based on the transaction probability and directly refers to intuitive definition of liquidity’s term. The authors made a research on the influence of changes in limit of the price and volume ofTers on the liquidity. The results imply that the level of liquidity risk depends on companies’ market capitalisation. The asymmetry of liquidity risk was notified. Its level was different when shares was to be sold or bought. The time structures analysis of the phenomena implies the clear differentiation of the liquidity risk.

Keywords: Stock liquidity; Liquidity analysis; Probability of closing a transaction (search for similar items in EconPapers)
JEL-codes: C01 E02 F00 G00 (search for similar items in EconPapers)
Date: 2003
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Persistent link: https://EconPapers.repec.org/RePEc:ann:findec:book:y:2003:n:166:ch:15:foe

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