Order Imbalance Indicators in Asset Pricing: Evidence from the Warsaw Stock Exchange

Nowak, Sabina

doi:10.1007/978-3-319-54885-2_9

Cited by 7 publications

(4 citation statements)

References 15 publications

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“…Moreover, the opening trade is treated as being unclassified. In this research, the LR algorithm is utilized as Olbrys and Mursztyn (2015;2017;2018c) confirm that this procedure performs quite well for data from the WSE. The empirical findings turn out to be robust to the choice of the sample and do not depend on firm's size.…”

Section: Three Liquidity Proxies Supported By a Trade Side Classificamentioning

confidence: 68%

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Intra-market commonality in liquidity: new evidence from the Polish stock exchange

Olbryś

2019

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Research background: Empirical market microstructure research has recently shifted its focus from the examination of liquidity of individual securities towards analyses of the common determinants and components of liquidity. The identification of commonality in liquidity emerged as a new and fast growing strand of the literature on liquidity. However, the results around the world are ambiguous and rather depend on a specific stock market. Purpose of the article: The aim of this study is to explore intra-market commonality in liquidity on the Warsaw Stock Exchange (WSE) by using daily proxies of six liquidity estimates: percentage relative spread, percentage realized spread, percentage price impact, percentage order ratio, modified turnover, and modified version of the Amihud measure. The sample covers a period from January 2005 to December 2016. The database contains the group of eighty-six WSE-listed companies. Methods: The research hypothesis that there is commonality in liquidity on the Polish stock market is tested. The OLS with the HAC covariance matrix estimation and the GARCH-type models are employed to infer the patterns of liquidity co-movements on the WSE. Moreover, because the sample period is quite long, the stability of the empirical results by time period is examined. Seven 6-year time windows are utilized in the study. Findings & Value added: The regression results reveal weak evidence of co-movements in liquidity on the WSE, regardless of the choice of the liquidity proxy. Furthermore, the robustness tests based on the time rolling-window approach do not unambiguously support the research hypothesis that there is commonality in liquidity on the Polish stock market. To the best of the author’s knowledge, the empirical findings presented here are novel and have not been reported in the literature thus far.

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Section: Three Liquidity Proxies Supported By a Trade Side Classificamentioning

confidence: 68%

“…The literature proposes various alternative proxies for order imbalance (see e.g. Chan & Fong, 2000;Chordia et al, 2002;Olbrys & Mursztyn, 2017;2018a;Nowak, 2017).…”

Section: Measuring Liquidity From High Frequency Intraday Datamentioning

confidence: 99%

Intra-market commonality in liquidity: new evidence from the Polish stock exchange

Olbryś

2019

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“…According to the literature related to the microstructure of markets, several proxies of market depth are proposed: (1) depth as a number of units offered at the ask price plus a number of units at the bid price (e.g., [46,51,52]), (2) dollar depth calculated in currency terms (e.g., [70]), (3) an average depth of the ask and the bid (e.g., [71]), (4) an average dollar depth measured in currency terms (e.g., [71]), ( 5) various versions of order ratio as a proxy of realized market depth (e.g., [43,49,[51][52][53]). The vast majority of these depth proxies require information about ask and bid prices.…”

Section: Discussionmentioning

confidence: 99%

“…It is pertinent to notice that the studies that explore depth, tightness, and resiliency as dimensions of stock market liquidity on the WSE are rather scarce. For instance, order imbalance as a measure of market depth is assessed in the papers [42,43,53]. Market tightness as the cost of turning around a position over a short period of time on the WSE is investigated in the works [42,43].…”

Section: Depth As One Of Stock Market Liquidity Dimensionsmentioning

confidence: 99%

An Entropy-Based Approach to Measurement of Stock Market Depth

Olbryś

Ostrowski

2021

Entropy

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The aim of this study is to investigate market depth as a stock market liquidity dimension. A new methodology for market depth measurement exactly based on Shannon information entropy for high-frequency data is introduced and utilized. The proposed entropy-based market depth indicator is supported by an algorithm inferring the initiator of a trade. This new indicator seems to be a promising liquidity measure. Both market entropy and market liquidity can be directly measured by the new indicator. The findings of empirical experiments for real-data with a time stamp rounded to the nearest second from the Warsaw Stock Exchange (WSE) confirm that the new proxy enables us to effectively compare market depth and liquidity for different equities. Robustness tests and statistical analyses are conducted. Furthermore, an intra-day seasonality assessment is provided. Results indicate that the entropy-based approach can be considered as an auspicious market depth and liquidity proxy with an intuitive base for both theoretical and empirical analyses in financial markets.

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Liquidity Proxies Based on Intraday Data: The Case of the Polish Order-Driven Stock Market

Olbryś

Mursztyn

2018

Advances in Panel Data Analysis in Applied Economic Research

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Order Imbalance Indicators in Asset Pricing: Evidence from the Warsaw Stock Exchange

Cited by 7 publications

References 15 publications

Intra-market commonality in liquidity: new evidence from the Polish stock exchange

Intra-market commonality in liquidity: new evidence from the Polish stock exchange

An Entropy-Based Approach to Measurement of Stock Market Depth

Liquidity Proxies Based on Intraday Data: The Case of the Polish Order-Driven Stock Market

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