On Some Characteristics of Liquidity Proxy Time Series. Evidence from the Polish Stock Market

Joanna Olbrys and Michal Mursztyn ()
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Michal Mursztyn: Bialystok University of Technology

Chapter Chapter 13 in Advances in Time Series Data Methods in Applied Economic Research, 2018, pp 177-189 from Springer

Abstract: Abstract The aim of this paper is to investigate major statistical properties of selected liquidity proxy time series based on high frequency (intraday) and low frequency (daily) data from the Warsaw Stock Exchange (WSE). We analyse daily time series of six liquidity estimates for the group of eighty-six WSE-traded companies, in the period from January 2005 to December 2016. These liquidity measures are: (1) percentage relative spread, (2) percentage realized spread, (3) percentage price impact, (4) percentage order ratio, (5) the modified daily turnover, and (6) the modified version of daily Amihud measure. We test distributional properties, linear and non-linear dependences, as well as stationarity of the analysed daily time series. Assessing statistical properties of time series of liquidity proxies is crucial for further research on econometric modelling of commonality in liquidity on the WSE.

Keywords: Stock market; Liquidity measure; Time series; Intraday data; Daily data (search for similar items in EconPapers)
Date: 2018
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Persistent link: https://EconPapers.repec.org/RePEc:spr:prbchp:978-3-030-02194-8_13

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DOI: 10.1007/978-3-030-02194-8_13

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