Commonality in Liquidity Measures. The evidence from the Polish Stock Market

被引：0
|
作者：
Bedowska-Sojka, Barbara [1 ]
机构：
[1] Poznan Univ Econ & Business, Poznan, Poland
来源：
HRADEC ECONOMIC DAYS, VOL. 9, ISSUE I | 2019年 / 9卷
关键词：
High-low Range; Effective Spread; Illiquidity; PROXIES;
D O I：
暂无
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
The purpose of the paper is to examine commonality in liquidity across stocks listed on the Warsaw Stock Exchange. Commonality refers to the common behavior of the liquidity measures across different stocks. We consider liquidity proxies based on widely available low-frequency data, as well as spreads calculated from the transaction data. Our sample consists of stocks listed constantly from 2006 through 2016. We find that commonality in liquidity is weak and robust to the choice of liquidity proxy. Large companies show more commonality than the smaller ones. Commonality is time-varying: it increases as liquidity dries up.
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页码：29 / 40
页数：12
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