Comparison of Monthly Stock Liquidity Measures for WSE-Listed Companies Based on Low-Frequency Data Cover Image

Porównanie miesięcznych miar płynności akcji spółek notowanych na GPW wyznaczanych na podstawie danych niskiej częstotliwości
Comparison of Monthly Stock Liquidity Measures for WSE-Listed Companies Based on Low-Frequency Data

Author(s): Barbara Będowska-Sójka
Subject(s): Social Sciences, Financial Markets
Published by: Wydawnictwo Naukowe Wydziału Zarządzania Uniwersytetu Warszawskiego
Keywords: liquidity; valuation of assets, Polish capital market.

Summary/Abstract: The purpose of this article is to examine the relationship between liquidity measures based on publicly available low-frequency data such as four prices: highest, lowest, opening and closing, as well as trading volume. Liquidity measures that are widely used in the literature have been determined for selected companies continuously listed on the WSE in 2000–2015. Based on daily data, monthly liquidity measures have been determined and relationships between measures have been analyzed. It is shown that liquidity indicators designed on the basis of low-frequency data that measure the impact on prices and the impact on activity provide similar information. The consistency of measures describing different dimensions of liquidity is an argument for their application.

  • Issue Year: 15/2017
  • Issue No: 1 (66)
  • Page Range: 178-192
  • Page Count: 15
  • Language: English, Polish