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Autor
Olbryś Joanna (Bialystok University of Technology, Poland)
Tytuł
The Non-Trading Problem in Assessing Commonality in Liquidity on Emerging Stock Markets
Wpływ problem braku transakcji na badanie wspólności w płynności na małych rynkach giełdowych
Źródło
Dynamic Econometric Models, 2018, vol. 18, s. 67-79, tab., bibliogr. 36 poz.
Słowa kluczowe
Rynki giełdowe, Wspólność w płynności, Model GARCH
Stock markets, Commonality in liquidity, GARCH model
Uwagi
Klasyfikacja JEL: C32, C58, G15, O57
summ., streszcz.
This work was financed by the grant from the National Science Centre, Poland, No. 2016/21/B/HS4/02004
Kraj/Region
Europa Środkowo-Wschodnia
Central and Eastern Europe
Abstrakt
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)

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)
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Bibliografia
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ISSN
1234-3862
Język
eng
URI / DOI
http://dx.doi.org/10.12775/DEM.2018.004
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