ON ILLIQUIDITY MEASURES ON EUROPEAN EMERGING STOCK MARKETS

被引：0
|
作者：
Vidovic, Jelena [1 ]
Poklepovic, Tea [2 ]
Aljinovic, Zdravka [2 ]
机构：
[1] Univ Split, Univ Dept Profess Studies, Kopilica 5, Split 21000, Croatia
[2] Univ Split, Fac Econ, Split 21000, Croatia
来源：
SOR'13 PROCEEDINGS: THE 12TH INTERNATIONAL SYMPOSIUM ON OPERATIONAL RESEARCH IN SLOVENIA | 2013年
关键词：
illiquidity measures; emerging markets; relative change in volume-RCV; LIQUIDITY;
D O I：
暂无
中图分类号：
C93 [管理学]; O22 [运筹学];
学科分类号：
070105 ; 12 ; 1201 ; 1202 ; 120202 ;
摘要：
In the paper the problem of applicability and validity of two well known illiquidity measures, ILLIQ and TURN, on European emerging markets is observed. It is shown that these two measures are not appropriate for seven observed markets. The measures do not follow obligatory request that returns increase in illiquidity. Therefore, new illiquidity measure, named Relative Change in Volume (RCV) is proposed. All measures are tested and proposed using single stock approach.
引用
收藏
页码：311 / 316
页数：6
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