Liquidity Analysis of Stocks in WARSET - Time

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 177/2004 - Forecasting and Decision-Making in Financial Markets, 2004, vol. 177, pp 239-254 from University of Lodz

Abstract: Garsztka, Matuszewski, and Wieloch (2003) proposed a new method of constructing a liquidity measure, based on the probability of closing a transaction that depends on the price limit and turnover volume. To extend the approach, they attempted to add another risk factor, i.e. the lime needed for the transaction to be concluded. The article presents research findings concerning stock liquidity and the probability of concluding a transaction for a specific number of stocks, at a set price, and by a given date.

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: 2004
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Persistent link: https://EconPapers.repec.org/RePEc:ann:findec:book:y:2004:n:177:ch:15:foe

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