Czas trwania ceny w kontekście płynności rynku i stóp zwrotu
Price duration as connected to market liquidity and returns

Summary/Abstract: The relationship between price dynamics of financial assets and the trading duration of their prices has been the subject of several studies in the field of relatively liquid markets. Due to their ambiguous results and limited cross-sectional and temporal scope, a need arose to repeat the study using current data for relatively less developed markets. This type of research can not only help understand investor behavior but also facilitate the construction of trading algorithms. The aim of the study discussed in the article is to find out whether there is a correlation between an increase in prices and reduced trading frequency of a given stock and if yes, whether this relationship is significantly related to market liquidity. The study was conducted on transaction data (from an order book) for October 2024 for selected companies listed on the Warsaw Stock Exchange, using a logarithmic specification of autoregressive conditional duration (ACD) models with additional exogenous variables. It was demonstrated that price increases are accompanied by a decrease in trading frequency. The relationship between an individual stock liquidity and this correlation turned out to be weak and insignificant.

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