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The Non-Trading Problem in Assessing Commonality in Liquidity on Emerging Stock Markets

Object's details: The Non-Trading Problem in Assessing Commonality in Liquidity on Emerging Stock Markets

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Provider:Akademicka Platforma Czasopism

Description

Title:
The Non-Trading Problem in Assessing Commonality in Liquidity on Emerging Stock Markets
Creator:
Olbryś, Joanna
Description:
The purpose of this study is to explore commonality in liquidity on seven small emerging CEE stock markets in the Czech Republic, Hungary, Slovakia, Slovenia, Lithuania, Estonia, and Latvia, in the context of serious problems with stock illiquidity. The number of companies that reveal a substantial non-trading problem is large. A modified version of the Amihud measure is utilized as daily liquidity proxy for stocks. The OLS-HAC method and the GARCH-type models are employed to infer the patterns of commonality in liquidity. No reason has been found to support intra-market commonality in liquidity on each investigated stock exchange.
Object availability:
free access
Rights:
Prawa autorskie (c) 2018 Dynamic Econometric Models
Date:
2018.12.21
Type:
info:eu-repo/semantics/article;
info:eu-repo/semantics/publishedVersion
Language:
English
Source:
Dynamic Econometric Models; Vol. 18 (2018); 67-79;
Dynamic Econometric Models; Tom 18 (2018); 67-79;
2450-7067;
1234-3862
Format:
application/pdf
Publisher:
Nicolaus Copernicus University
Relation: https://apcz.umk.pl/DEM/article/view/DEM.2018.004/16377
Subject:
CEE;
commonality in liquidity;
GARCH;
HAC;
non-trading problem;
C32;
C58;
G15;
O57
Identifier: https://apcz.umk.pl/DEM/article/view/DEM.2018.004
Data provider:
Akademicka Platforma Czasopism

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