Pomiar naprężenia rynku na Giełdzie Papierów Wartościowych w Warszawie SA
Measurement Of Market Tightness On The Warsaw Stock Exchange

Summary/Abstract: Purpose – The main aim of the paper was an empirical analysis of market tightness as one of themarket liquidity dimensions on the Warsaw Stock Exchange. The additional goal was a robustness analysisof results obtained with respect to the whole sample period January 2005–June 2015, and three adjacent subsamplesof equal size: the pre-crisis, crisis, and post-crisis periods.Design/methodology/approach – The 53 WSE-listed companies from three size groups have been investigated.The high-frequency data was utilized. Market tightness was approximated using the relative spreadbid/ask (RS).Findings – According to the literature, a wide relative spread denotes high market tightness and low stockliquidity. Conversely, a narrow relative spread denotes low market tightness and high stock liquidity. Theempirical results reveal the smallest value of the RS indicator for the most liquid assets (e.g. KGH, OPL,PEO, PKN, PKO). Moreover, the results turned out to be robust to the choice of the sample and rather do notdepend on a firm size.Originality/value – To the best of the authors’ knowledge, no such research has been undertaken for theWarsaw Stock Exchange thus far.

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