Opis

• Tytuł:
  The Non-Trading Problem in Assessing Commonality in Liquidity on Emerging Stock Markets
• Twórca:
  Olbryś, Joanna
• Opis:
  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.
• Dostępność obiektu:
  Dostęp otwarty
• Prawa:
  Prawa autorskie (c) 2018 Dynamic Econometric Models
• Data:
  2018.12.21
• Typ:
  info:eu-repo/semantics/article;
  info:eu-repo/semantics/publishedVersion
• Język:
  angielski
• Źródło:
  Dynamic Econometric Models; Vol. 18 (2018); 67-79;
  Dynamic Econometric Models; Tom 18 (2018); 67-79;
  2450-7067;
  1234-3862
• Format:
  application/pdf
• Wydawca:
  Nicolaus Copernicus University
• Relacja: https://apcz.umk.pl/DEM/article/view/DEM.2018.004/16377
• Temat i słowa kluczowe:
  CEE;
  commonality in liquidity;
  GARCH;
  HAC;
  non-trading problem;
  C32;
  C58;
  G15;
  O57
• Identyfikator: https://apcz.umk.pl/DEM/article/view/DEM.2018.004
• Dostawca danych:
  Akademicka Platforma Czasopism
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