Emerging and Mature Markets – Behaviour of Low-Frequency Liquidity Measures. The Case of the German and Polish Stock Markets Cover Image

Rynek wschodzący i rynek dojrzały– zachowanie miar płynności o niskiej częstotliwości na przykładzie niemieckiego i polskiego rynku akcji
Emerging and Mature Markets – Behaviour of Low-Frequency Liquidity Measures. The Case of the German and Polish Stock Markets

Author(s): Barbara Będowska-Sójka
Subject(s): Social Sciences, National Economy, Financial Markets
Published by: Wydawnictwo Naukowe Wydziału Zarządzania Uniwersytetu Warszawskiego
Keywords: liquidity; price range; transaction costs; turnover

Summary/Abstract: This article is aimed at examining the dynamics of liquidity measures in capital markets at various stages of development – Deutsche Börse in Frankfurt and the Warsaw Stock Exchange. The study uses generally available daily data from 2001–2016. It is shown that the liquidity measures determined for both markets display similar dynamics, suggesting that stock liquidity is strongly influenced by global risk factors. In the case of stocks listed in the German market, the Amihud liquidity measure and measures of transaction costs are closely correlated in the entire sample. In the Polish market, the interdependence between these measures becomes stronger over time. Transaction costs in a mature market are lower and liquidity measures are more consistent.

  • Issue Year: 16/2018
  • Issue No: 3 (76)
  • Page Range: 24-36
  • Page Count: 13
  • Language: English, Polish