The Impact of Trading Liquidity on the Rate of Return on Emerging Markets : the Example of Poland and the Baltic Countries

• Autorzy: Agata Gniadkowska-Szymańska
• Języki publikacji: EN

Abstrakty

EN

Each type of investment has its own liquidity, i.e. the speed with which it can be converted into money. This can be seen with respect to various instruments (such as stocks or futures contracts), market segments, or even entire exchanges. The importance of liquidity has been acknowledged for a long time. A considerable number of studies have investigated stock liquidity, providing evidence that more illiquid stocks have higher returns, which may be deemed an ,illiquidity premium'. In this paper I present various factors which have an effect on liquidity by presenting the results of research concerning relations between liquidity and stock return on the Warsaw Stock Exchange (WSE) and Nasdaq stock exchanges in Tallinn, Riga and Vilnius. (original abstract)

Słowa kluczowe

EN

Bonus; Financial liquidity; Capital market; Capital gains

PL

Premia; Płynność finansowa; Rynek kapitałowy; Zyski kapitałowe

• Czasopismo: e-Finanse
• Rocznik: 2017
• Tom: 13
• Numer: nr 4
• Strony: 136--148

Twórcy

autor

Agata Gniadkowska-Szymańska

• University of Lodz

Bibliografia

• Acharya, V., Pedersen, L. (2005). Asset Pricing with Liquidity Risk. Journal of Financial Economics, 77(2), 375- 410.
• Amihud, Y. (2002). Illiquidity and Stock Returns: Cross-section and Time-series effects. Journal of Financial Markets, No. 5.
• Amihud, Y., Mendelson, H. (1986a). Asset Pricing and a Bid-Ask Spread. Journal of Financial Economics, vol. 17.
• Amihud, Y., Mendelson, H. (1986b). Liquidity and Stock Returns. Financial Analysts Journal, vol. 42, No. 3.
• Amihud, Y., Mendelson, H. (1989). The Effects of Beta, Bid-ask Spread, Residual, Risk and Size on Stock Returns. Journal of Finance, No. 44.
• Bekaert, G., Harvey, C., Lundblad, C. (2007). Liquidity and Expected Returns: Lessons from Emerging Markets. Review of Financial Studies, 20(6), 1783-1831.
• Bertsimas, D., Lo, A. (1998). Optimal Control of Execution Costs. Journal of Financial Markets, vol. 1, issue 1, 1-50.
• Brennan, M.J., Subrahmanyam, A. (1996). Market Microstructure and Asset Pricing: On the Compensation for Illiquidity in Stock Returns. Journal of Financial Economics 41, 441-464.
• Brogaard, J., Li, D., Xia, Y. (2017). Stock Liquidity and Default Risk. Journal of Financial Economics, 124(3), 486-502.
• Brzeszczyński, J., Gajdka, J., Schabek, T. (2011). The Role of Stock Size and Trading Intensity in the Magnitude of the "Interval Effect" in Beta Estimation. Empirical Evidence From the Polish Capital Market. Emerging Markets Finance and Trade, 47(1), 28-49.
• Chan, H., Faff, R. (2005). Asset Pricing and Illiquidity Premium. The Financial Review, vol. 40, 429-458.
• Chang, X., Chen, Y., Zolotoy, L. (2017). Stock Liquidity and Stock Price Crash Risk. Journal of Financial and Quantitative Analysis, 52(4), 1605 -1637.
• Chang, Y.Y., Faff, R., Hwang, C.-Y. (2010). Liquidity and Stock Returns in Japan: New Evidence. Pacific-Basin Finance Journal, No. 18(1).
• Cheng, L., Fung, H., Leung, T. (2007). Information effects of dividends: evidence from the Hong Kong market. Review of Quantitative Finance and Accounting, No. 26(1).
• Chordia, T., Roll, R., Subrahmanyam, A. (2000). Commonality and Liquidity. Journal of Financial Economics, vol. 56, Issue 1., 3-28.
• Dater, V., Naik, N., Radcliffe, R. (1998). Liquidity and Stock Returns: An Alternative Test. Journal of Financial Markets, vol. 1.
• Dimson, E. (1979). Risk Measurement When Shares are Subject to Infrequent Trading. Journal of Financial Economics, Elsevier, 7(2), 197-226.
• Fama, E.F., French, K.R. (1993). Common Risk Factors in the Returns on Stocks and Bonds. Journal of Financial Economics 33, 3- 56.
• Fama, E.F., French, K.R. (1996). Multifactor Explanations of Asset Pricing Anomalies. Journal of Finance, 51(1), 55- 84.
• Fama, E.F., French, K.R. (2001). Disappearing Dividends: Changing Firm Characteristics or Lower Propensity to Pay?. Journal of Financial Economics, No. 60.
• Fama, E.F., MacBeth, J.D. (1973). Risk, Return, and Equilibrium: Empirical Tests. Journal of Political Economy 81, 607-636.
• Gajdka, J., Gniadkowska, A., Schabek, T. (2010). Płynność obrotu a stopa zwrotu z akcji na Giełdzie Papierów Wartościowych w Warszawie. Uniwersytet Ekonomiczny w Poznaniu, Zeszyty Naukowe nr 142.
• Goyenko, R.Y., Holden, C.W., Trzcinka, C.A. (2009). BDo Liquidity Measures Measure Liquidity?. Journal of Financial Economics, 92(2), 153-181.
• Hasbrouck, J. (2006). Trading Costs and Returns for US Equities: Estimating Effective Costs from Daily Data. Working Paper, Stern School of Business, New York University.
• Holden, C.W., Jacobsen, S., Subrahmanyam, A. (2014). The Empirical Analysis of Liquidity. Foundations and Trends® in Finance, 8(4), 263-365.
• Hu, M., Jain, A., Zheng, X. (2018). Stock Splits and Liquidity Risk in the Chinese Stock Market.
• Korajczyk, R., Sadka, R. (2008). Pricing the Commonality Across Alternative Measures of Liquidity. Journal of Financial Economics, 87(1), 45-72.
• Lakonishok, J., Shapiro, A.C. (1986). Systematic Risk, Total Risk and Size as Determinants of Stock Market Returns. Journal of Banking & Finance, Volume 10, Issue 1, 115-132.
• Lakonishok, J., Shleifer, A., Vishny, R. (1994). Contrarian Investment, Extrapolation, and Risk. The Journal of Finance, 49(5), 1541-1578.
• Lesmond, D. A (2005). Liquidity of Emerging Markets. Journal of Financial Economics, No. 77(2),. 411-452.
• Lesmond, D.A., Ogden, J.P., Trzcinka, C.A. (1999). A New Estimate of Transaction Costs. Review of Financial Studies, 12(5), 1113-1141.
• Lischewski, J., Voronkova, S. (2012). Size, Value, and Liquidity. Do They Really Matter on an Emerging Stock Market?. Emerging Markets Review, 13(1), 8-25.
• Ma, R., Anderson, H.D., Marshall, B.R. (2018). Stock Market Liquidity and Trading Activity: Is China Different?. International Review of Financial Analysis.
• Olbryś, J. (2013). Zastosowanie wybranych miar płynności aktywów kapitałowych na Giełdzie Papierów Wartościowych w Warszawie S.A., Zarządzenie i Finanse, Vol. 11, No. 3, Part 2, 65-77.
• Pastor, L., Stambaugh, R.F., (2003). Liquidity Risk and Expected Stock Returns. Journal of Political Economy, 111(3), 642685.
• Sadka, R. (2006). Momentum and Post-earnings Announcement Drift Anomalies: The Role of Liquidity Risk. Journal of Financial Economics 80, 309-349.
• Shanken, J. (1992). On the Estimation of Beta-pricing Models. Review of Financial Studies 5, 1-3.
• Shannon, P., Reilly, R., Schweihs, R.(2000). Valuing a Business: The Analysis and Appraisal of Closely Held Companies. McGraw-Hill Library of Investment and Finance, 4th Edition (Hardcover).
• Sharpe, W. (1964). Capital Asset Prices: A Theory of Market Equilibrum under Condition of risk. Journal of Finance, nr 19.
• White, H. (1980). A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity. Econometrica, 48(4), 817-838.
• http://www.nasdaqbaltic.com/ [as of 07.03.2016].
• www.money.pl, [as of 07.03.2016]
• http://www.gpw.pl, [as of 07.03.2016].

Identyfikatory

DOI

10.1515/fiqf-2016-0042