PL EN


Preferencje help
Widoczny [Schowaj] Abstrakt
Liczba wyników
2020 | 23 | nr 3 | 91--109
Tytuł artykułu

No Commonality in Liquidity on Small Emerging Markets? Evidence from the Central and Eastern European Stock Exchanges

Autorzy
Warianty tytułu
Brak wspólności w płynności na małych rozwijających się rynkach giełdowych? Wyniki dla giełd Europy Środkowo-Wschodniej
Języki publikacji
EN
Abstrakty
Celem pracy było badanie komparatywne tzw. wspólności w płynności (commonality in liquidity) na sześciu małych giełdach Europy Środkowo-Wschodniej. Analizowane rynki to: Czechy, Węgry, Słowacja, Litwa, Estonia i Łotwa. Wykorzystano trzy miary płynności/niepłynności aktywów kapitałowych, aproksymowane na podstawie danych dziennych. Próba objęła okres 5 lat, od stycznia 2012 do grudnia 2016. Do oszacowania modeli płynności zastosowano metodę estymatorów odpornych HAC oraz modele typu GARCH (w przypadku wystąpienia efektu ARCH w procesach resztowych). Dodatkowo przeprowadzono analizę stabilności wyników w czasie za pomocą procedury ruchomego okna. Wyniki empiryczne nie ujawniły wyraźnych wzorców w płynności na badanych rynkach oraz okazały się bardzo zbliżone na wszystkich giełdach, analizowanych oddzielnie. Na tej podstawie stwierdzono brak podstaw do odrzucenia hipotezy badawczej o braku wspólności w płynności na każdym z rynków. Badanie wypełnia lukę literaturową dotyczącą płynności na małych giełdach Europy Środkowo-Wschodniej, ponieważ żadne z wcześniejszych opracowań nie analizowało w sposób kompleksowy całej grupy wymienionych rynków. (abstrakt oryginalny)
EN
The goal of this comparative research is to investigate intra-market commonality in liquidity on six small emerging Central and Eastern European (CEE) stock exchanges - in the Czech Republic, Hungary, Slovakia, Lithuania, Estonia, and Latvia. The CEE post-communist countries can be analyzed together as they are geographically close, and the stock markets are relatively similar. Three measures based on daily data are utilized as liquidity/ illiquidity proxies: (1) a modified version of the Amihud (2002) measure, (2) the percentage relative spread, and (3) the Corwin-Schultz (2012) high-low two-day spread estimator. The OLS regression with the HAC covariance matrix estimation and the GARCH-type models are employed to explore the patterns of market-wide commonality in liquidity on the CEE stock exchanges. The main value-added comes from the methodology and the novel empirical findings. To the best of the author's knowledge, this is the first study that investigates commonality in liquidity in the aforementioned group of countries using three liquidity proxies and the time rolling-window approach to provide robustness tests. The regressions reveal no pronounced evidence of co-movements in liquidity within the CEE markets, taken separately. What is important, the empirical results are homogeneous for all investigated markets. Therefore, no reason has been found to reject the research hypothesis that there is no commonality in liquidity on each individual market. This paper aspires to fill the gap in the knowledge of liquidity patterns on the CEE emerging markets. (original abstract)
Rocznik
Tom
23
Numer
Strony
91--109
Opis fizyczny
Twórcy
  • Białystok University of Technology
Bibliografia
  • Amihud, Y. (2002), Illiquidity and Stock Returns: Cross-Section and Time-Series Effects, "Journal of Financial Markets", 5 (1), https://doi.org/10.1016/S1386-4181 (01)00024-6
  • Bai, M., Qin, Y. (2015), Commonality in Liquidity in Emerging Markets: Another Supply- Side Explanation, "International Review of Economics & Finance", 39, https:// doi.org/10.1016/j.iref.2015.06.005
  • Bekaert, G., Harvey, C.R., Lundblad, C. (2007), Liquidity and Expected Returns: Lessons from Emerging Markets, "Review of Financial Studies", 20 (6), https://doi.org /10.1093/rfs/hhm030
  • Będowska-Sójka, B. (2019), Commonality in Liquidity Measures. The Evidence from the Polish Stock Market, "Hradec Economic Days", 9 (1)
  • Brockman, P., Chung, D.Y., Perignon, C. (2009), Commonality in Liquidity: A Global Perspective, "Journal of Financial and Quantitative Analysis", 44 (4), https://doi.org /10.1017/S0022109009990123
  • Chordia, T., Roll, R., Subrahmanyam, A. (2000), Commonality in Liquidity, "Journal of Financial Economics", 56 (1), https://doi.org/10.1016/S0304-405X(99)00057-4
  • Corwin, S.A., Schultz, P. (2012), A Simply Way to Estimate Bid-Ask Spreads from Daily High and Low Prices, "Journal of Finance", 67 (2), https://doi.org/10.1111/j.1540 -6261.2012.01729.x
  • Dickey, D.A., Fuller, W.A. (1981), Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root, "Econometrica", 49 (4), https://doi.org/10.2307/1912517
  • Dimson, E. (1979), Risk Measurement when Shares are Subject to Infrequent Trading, "Journal of Financial Economics", 7, https://doi.org/10.1016/0304-405X(79)90013-8
  • Elliott, G., Rothenberg, T.J., Stock, J.H. (1996), Efficient Tests for an Autoregressive Unit Root, "Econometrica", 64 (4), https://doi.org/10.2307/2171846
  • Engle, R.F. (1982), Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflations, "Econometrica", 50, https://doi.org/10.23 07/1912773
  • Fong, K.Y.L., Holden, C.W., Trzcinka, C. (2017), What are the Best Liquidity Proxies for Global Research?, "Review of Finance", 21, https://doi.org/10.1093/rof/rfx003
  • Kamara, A., Lou, X., Sadka, R. (2008), The Divergence of Liquidity Commonality in the Cross-Section of Stocks, "Journal of Financial Economics", 89 (3), https://doi.org/10 .1016/j.jfineco.2007.10.004
  • Kang, W., Zhang, H. (2013), Limit Order Book and Commonality in Liquidity, "Financial Review", 48 (1), https://doi.org/10.1111/j.1540-6288.2012.00348.x
  • Karolyi, G.A., Lee, K.-H., van Dijk, M.A. (2012), Understanding Commonality in Liquidity Around the World, "Journal of Financial Economics", 105 (1), https://doi.org /10.1016/j.jfineco.2011.12.008
  • Kearney, C. (2012), Emerging Markets Research: Trends, Issues, and Future Directions, "Emerging Markets Review", 13 (2), https://doi.org/10.1016/j.ememar.2012.01.003
  • Kiviaho, J., Nikkinen, J., Piljak, V., Rothovius, T. (2014), The Comovement Dynamics of European Frontier Stock Markets, "European Financial Management", 20 (3), https://doi.org/10.1111/j.1468-036X.2012.00646.x
  • Korajczyk, R., Sadka, R. (2008), Pricing the Commonality Across Alternative Measures of Liquidity, "Journal of Financial Economics", 87 (1), https://doi.org/10.1016/j.jfine co.2006.12.003
  • Narayan, P.K., Zhang, Z., Zheng, X. (2015), Some Hypotheses on Commonality in Liquidity: New Evidence from the Chinese Stock Market, "Emerging Markets Finance & Trade", 51, https://doi.org/10.1080/1540496X.2015.1061799
  • Newey, W.K., West, K.D. (1987), A Simple, Positive Semi-Define, Heteroskesticity and Autocorrelation Consistent Covariance Matrix, "Econometrica", 55 (3), https://doi .org/10.2307/1913610
  • Olbryś, J. (2014), Is Illiquidity Risk Priced? The Case of the Polish Medium-Size Emerging Stock Market, "Bank i Kredyt", 45 (6).
  • Olbryś, J. (2018), The Non-Trading Problem in Assessing Commonality in Liquidity on Emerging Stock Markets, "Dynamic Econometric Models", 18, https://doi.org /10.12775/DEM.2018.004
  • Olbryś, J. (2019a), Intra-Market Commonality in Liquidity. New Evidence from the Polish Stock Exchange, "Equilibrium. Quarterly Journal of Economics and Economic Policy", 14 (2), https://doi.org/10.24136/eq.2019.012
  • Olbryś, J. (2019b), Market-Wide Commonality in Liquidity on the CEE-3 Emerging Stock Markets, [in:] K. Jajuga, H. Locarek-Junge, L.T. Orlowski, K. Staehr (eds), Contemporary Trends and Challenges in Finance, Springer Nature Switzerland AG, https:// doi.org/10.1007/978-3-030-15581-0_13
  • Olbryś, J. (2020), Market Tightness on the CEE Emerging Stock Exchanges in the Context of the Non-Trading Problem, [in:] N. Tsounis, A. Vlachvei (eds), Advances in Cross-Section Data Methods in Applied Economic Research. Springer Nature Switzerland AG, https://doi.org/10.1007/978-3-030-38253-7_36
  • Olbryś, J., Mursztyn, M. (2018), On Some Characteristics of Liquidity Proxy Time Series. Evidence from the Polish Stock Market, [in:] N. Tsounis, A. Vlachvei (eds), Advances in Time Series Data Methods in Applied Economic Research, Springer Nature Switzerland AG, https://doi.org/10.1007/978-3-030-02194-8_13
  • Pukthuanthong-Le, K., Visaltanachoti, N. (2009), Commonality in Liquidity: Evidence from the Stock Exchange of Thailand, "Pacific-Basin Finance Journal", 17 (1), https:// doi.org/10.1016/j.pacfin.2007.12.004
  • Sensoy, A. (2016), Commonality in Liquidity: Effects of Monetary Policy and Macroeconomic Announcements, "Finance Research Letters", 16, https://doi.org/10.1016 /j.frl.2015.10.021
  • Syamala, R., Wadhwa, K., Goyal, A. (2017), Determinants of Commonality in Liquidity: Evidence from an Order-Driven Emerging Market, "North American Journal of Economics and Finance", 42, https://doi.org/10.1016/j.najef.2017.07.003
  • Wang, J. (2013), Liquidity Commonality Among Asian Equity Markets, "Pacific-Basin Finance Journal", 21 (1), https://doi.org/10.1016/j.pacfin.2012.05.001
Typ dokumentu
Bibliografia
Identyfikatory
Identyfikator YADDA
bwmeta1.element.ekon-element-000171603489

Zgłoszenie zostało wysłane

Zgłoszenie zostało wysłane

Musisz być zalogowany aby pisać komentarze.
JavaScript jest wyłączony w Twojej przeglądarce internetowej. Włącz go, a następnie odśwież stronę, aby móc w pełni z niej korzystać.