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2018 | 18 | 67--79
Tytuł artykułu

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

Autorzy
Treść / Zawartość
Warianty tytułu
Wpływ problem braku transakcji na badanie wspólności w płynności na małych rynkach giełdowych
Języki publikacji
EN
Abstrakty
Artykuł przedstawia badanie wspólności w płynności na siedmiu małych giełdach Europy Środkowo-Wschodniej w kontekście problemu braku transakcji, czyli bardzo dużej liczby dni z zerowym wolumenem. Przeprowadzono konieczną redukcję niepłynnych spółek na badanych rynkach, co spowodowało znaczny spadek liczby firm uczestniczących w badaniu. Jako estymator dziennej płynności zastosowano zmodyfikowaną miarę Amihuda. W celu identyfikacji wzorców w płynności wykorzystano modele OLS-HAC oraz GARCH. Nie stwierdzono efektu wspólności w płynności na żadnym z badanych rynków giełdowych. (abstrakt oryginalny)
EN
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. (original abstract)
Rocznik
Tom
18
Strony
67--79
Opis fizyczny
Twórcy
  • Bialystok University of Technology, Poland
Bibliografia
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Typ dokumentu
Bibliografia
Identyfikatory
Identyfikator YADDA
bwmeta1.element.ekon-element-000171536207

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