Testing Stability of Correlations Between Liquidity Proxies Derived from Intraday Data on the Warsaw Stock Exchange

Olbryś, Joanna

doi:10.1007/978-3-319-76228-9_7

Cited by 7 publications

(4 citation statements)

References 34 publications

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“…Furthermore, percentage effective spread is factored into our research by its two components that complement each other: percentage realized spread and percentage price impact. Additionally, Olbryś (2018a) tests stability of correlations between four liquidity proxies (excluding percentage effective spread) and her results confirm, that four liquidity estimates seem to capture various sources of market liquidity on the WSE.…”

Section: Measuring Liquidity From High Frequency Intraday Datamentioning

confidence: 52%

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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: Measuring Liquidity From High Frequency Intraday Datamentioning

confidence: 52%

“…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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“…The literature on the commonality in liquidity has become a very impressive body of knowledge. For the developed markets, commonality is more intense than for the emerging ones [7,22,23]. While the individual transaction costs behave similarly for individual assets, the average level of commonality is rather weak.…”

Section: Literature Reviewmentioning

confidence: 99%

Commonality in Liquidity Indices: The Emerging European Stock Markets

Będowska-Sójka

Echaust

2019

Systems

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The aim of the paper is to examine commonality in liquidity indices across emerging European stock markets. Five markets are included in the study: Hungarian, Czech, Polish, Russian and Turkish, in the period from 2008 to 2017. We propose liquidity indices that are based on low-frequency liquidity proxies and capture both the dynamics coming from volume and price changes. We find strong commonality of the liquidity indices across all examined markets which is robust to the choice of liquidity proxy. The dependence between indices enhances in times of crisis and large market declines, and weakens when markets become stable. We also examine the interdependency between liquidity and volatility estimates and find that liquidity on the European emerging markets is related to CBOE Volatility Index (VIX). Liquidity in the whole region decreases when VIX increases, and vice versa. The liquidity indices based on the extreme market movements show that there are no differences in commonality in time of extreme negative and positive returns.

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“…Notably, in order to measure not only market liquidity but also the dimensions of market liquidity drawn on intraday data, it is important to recognize the side that initiates a transaction and to distinguish between the so-called buyer-and seller-initiated trade (Olbryś and Mursztyn 2018a). It is the validity of the market microstructure research that depends on the ability to classify accurately transactions being initiated as a buyer or seller (Olbryś and Mursztyn 2018b). A precise quantification of the impact is needed to understand investors' decision-making processes (Abdallah and Hilu 2015) but is hampered by the following.…”

Section: Introductionmentioning

confidence: 99%

Investment Decisions with Endogeneity: A Dirichlet Tree Analysis

Samsami

Wagner

2021

JRFM

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Ignoring endogeneity when assessing investors’ decisions carries the risk of biased estimates for the influence of exogeneous marketing variables. This study shows how to overcome this challenge by using Pólya trees in the quantification of impacts on investors’ decisions. A total of 2255 investors recruited for this study received and opened a digital marketing newsletter about investing daily. Given the nature of investors’ decisions characterized by heterogeneity and endogeneity, the response model is assessed with the Dirichlet process mixture and estimated with the Markov chain Monte Carlo method. Digital marketing substantially exceeds the impact of investor experience, but both have a significant positive impact on investors’ trading volume. Findings obtained with the Dirichlet process mixture as a flexible model indicate that digital marketing even with latent endogenous factors makes an underlying contribution to the investors’ actions in the stock market.

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Testing Stability of Correlations Between Liquidity Proxies Derived from Intraday Data on the Warsaw Stock Exchange

Cited by 7 publications

References 34 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

Commonality in Liquidity Indices: The Emerging European Stock Markets

Investment Decisions with Endogeneity: A Dirichlet Tree Analysis

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