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

Joanna Olbryś

doi:10.18778/1508-2008.23.22

Autor

Joanna Olbryś Bialystok University of Technology, Faculty of Computer Science, Department of Theoretical Computer Scnience, Bialystok, Poland

DOI:

https://doi.org/10.18778/1508-2008.23.22

Słowa kluczowe:

Europa Środkowo-Wschodnia, wspólność w płynności, GARCH, HAC, ruchome okno czasowe, dane dzienne

Abstrakt

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.

Pobrania

Brak dostępnych danych do wyświetlenia.

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
Google Scholar DOI: 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
Google Scholar DOI: 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
Google Scholar DOI: 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).
Google Scholar DOI: https://doi.org/10.36689/uhk/hed/2019-01-003

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
Google Scholar DOI: 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
Google Scholar DOI: 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
Google Scholar DOI: 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
Google Scholar DOI: 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
Google Scholar DOI: 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
Google Scholar DOI: 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/10.2307/1912773
Google Scholar DOI: https://doi.org/10.2307/1912773

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
Google Scholar DOI: 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
Google Scholar DOI: 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
Google Scholar DOI: 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
Google Scholar DOI: 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
Google Scholar DOI: 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
Google Scholar DOI: 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.jfineco.2006.12.003
Google Scholar DOI: https://doi.org/10.1016/j.jfineco.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
Google Scholar DOI: 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
Google Scholar DOI: 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).
Google Scholar

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
Google Scholar DOI: 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
Google Scholar DOI: 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
Google Scholar DOI: 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
Google Scholar DOI: 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
Google Scholar DOI: 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
Google Scholar DOI: 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
Google Scholar DOI: 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
Google Scholar DOI: 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
Google Scholar DOI: https://doi.org/10.1016/j.pacfin.2012.06.003