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Autor
Olbryś Joanna (Białystok University of Technology)
Tytuł
No Commonality in Liquidity on Small Emerging Markets? Evidence from the Central and Eastern European Stock Exchanges
Brak wspólności w płynności na małych rozwijających się rynkach giełdowych? Wyniki dla giełd Europy Środkowo-Wschodniej
Źródło
Comparative Economic Research, 2020, vol. 23, nr 3, s. 91-109, tab., bibliogr. 30 poz.
Słowa kluczowe
Model GARCH, Wspólność w płynności
GARCH model, Commonality in liquidity
Uwagi
Klasyfikacja JEL: C32, C58, G12, G15, O52
summ., streszcz.
Badania zostały sfinansowane z grantu nr 2016/21/B/HS4/02004 Narodowego Centrum Nauki, Polska
Kraj/Region
Europa Środkowo-Wschodnia
Central and Eastern Europe
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. (abstrakt oryginalny)

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)
Dostępne w
Biblioteka Główna Uniwersytetu Ekonomicznego w Katowicach
Pełny tekst
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Bibliografia
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  1. 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
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  16. 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
  17. 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
  18. 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
  19. 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
  20. 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
  21. Olbryś, J. (2014), Is Illiquidity Risk Priced? The Case of the Polish Medium-Size Emerging Stock Market, "Bank i Kredyt", 45 (6).
  22. 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
  23. 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
  24. 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
  25. 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
  26. 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
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Cytowane przez
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ISSN
1508-2008
Język
eng
URI / DOI
http://dx.doi.org/10.18778/1508-2008.23.22
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