Market Tightness on the CEE Emerging Stock Exchanges in the Context of the Non-trading Problem

Joanna Olbryś

Abstract

According to literature, the following three dimensions of market liquidity as special liquidity characteristics are usually distinguished: (1) market depth, (2) market tightness, and (3) market resiliency. The purpose of this study is to explore market tightness as one of dimensions of market liquidity on seven small Central and Eastern European (CEE) emerging 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. In the study, daily percentage relative spread is employed as a proxy of market tightness on the investigated stock exchanges. The research sample covers the period from January 2, 2012 to December 30, 2016. Furthermore, to verify the stability of the obtained results, tests based on the time rolling-window approach are provided. In general, the average daily market tightness is quantitatively similar to the investigated markets, taken separately. However, the market tightness significantly differs among stocks and the results are not homogenous in sub-periods. Moreover, the influence of the non-trading effect on daily value of a stock tightness on the CEE stock exchanges is crucial.
Author Joanna Olbryś (FCS / DTCS)
Joanna Olbryś,,
- Department of Theoretical Computer Science
Pages553-569
Publication size in sheets0.8
Book Tsounis Nicholas, Aspasia Vlachvei (eds.): Advances in Cross-Section Data Methods in Applied Economic Research, Springer Proceedings in Business and Economics, 2020, Springer, ISBN 978-3-030-38252-0, [978-3-030-38253-7], 731 p., DOI:10.1007/978-3-030-38253-7
Keywords in EnglishDimensions of market liquidity, Market tightness, Percentage relative spread, Daily data, Non-trading problem, CEE stock exchanges
DOIDOI:10.1007/978-3-030-38253-7_36
Internal identifierROC 19-20
Languageen angielski
Score (nominal)20
Score sourcepublisherList
ScoreMinisterial score = 20.0, 04-03-2020, ChapterFromConference
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