Intra-market commonality in liquidity: new evidence from the Polish stock exchange

Joanna Olbryś


Research background: Empirical market microstructure research has recently shifted its focus from the examination of liquidity of individual securities towards analyses of the common determinants and components of liquidity. The identification of commonality in liquidity emerged as a new and fast growing strand of the literature on liquidity. However, the results around the world are ambiguous and rather depend on a specific stock market. Purpose of the article: The aim of this study is to explore intra-market commonality in liquidity on the Warsaw Stock Exchange (WSE) by using daily proxies of six liquidity estimates: percentage relative spread, percentage realized spread, percentage price impact, percentage order ratio, modified turnover, and modified version of the Amihud measure. The sample covers a period from January 2005 to December 2016. The database contains the group of eighty-six WSE-listed companies. Methods: The research hypothesis that there is commonality in liquidity on the Polish stock market is tested. The OLS with the HAC covariance matrix estimation and the GARCH-type models are employed to infer the patterns of liquidity co-movements on the WSE. Moreover, because the sample period is quite long, the stability of the empirical results by time period is examined. Seven 6-year time windows are utilized in the study. Findings & Value added: The regression results reveal weak evidence of co-movements in liquidity on the WSE, regardless of the choice of the liquidity proxy. Furthermore, the robustness tests based on the time rolling-window approach do not unambiguously support the research hypothesis that there is commonality in liquidity on the Polish stock market. To the best of the author’s knowledge, the empirical findings presented here are novel and have not been reported in the literature thus far.
Author Joanna Olbryś (FCS / DTCS)
Joanna Olbryś,,
- Department of Theoretical Computer Science
Journal seriesEquilibrium, [EQUILIBRIUM], ISSN 1689-765X, e-ISSN 2353-3293, (N/A 70 pkt)
Issue year2019
Publication size in sheets1.2
Keywords in Englishcommonality in liquidity, OLS-HAC, GARCH, time rolling-window approach, Warsaw Stock Exchange
Internal identifierROC 19-20
Languageen angielski
Score (nominal)70
Score sourcejournalList
ScoreMinisterial score = 70.0, 04-03-2020, ArticleFromJournal
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