Commonality in Liquidity Indices: The Emerging European Stock Markets
The aim of the paper is to examine commonality in liquidity indices across emerging European stock markets. Five markets are included in the study: Hungarian, Czech, Polish, Russian and Turkish, in the period from 2008 to 2017. We propose liquidity indices that are based on low-frequency liquidity p...
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| Format: | Article |
| Language: | English |
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MDPI AG
2019-04-01
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| Series: | Systems |
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| Online Access: | https://www.mdpi.com/2079-8954/7/2/24 |
| _version_ | 1818035457594753024 |
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| author | Barbara Będowska-Sójka Krzysztof Echaust |
| author_facet | Barbara Będowska-Sójka Krzysztof Echaust |
| author_sort | Barbara Będowska-Sójka |
| collection | DOAJ |
| description | The aim of the paper is to examine commonality in liquidity indices across emerging European stock markets. Five markets are included in the study: Hungarian, Czech, Polish, Russian and Turkish, in the period from 2008 to 2017. We propose liquidity indices that are based on low-frequency liquidity proxies and capture both the dynamics coming from volume and price changes. We find strong commonality of the liquidity indices across all examined markets which is robust to the choice of liquidity proxy. The dependence between indices enhances in times of crisis and large market declines, and weakens when markets become stable. We also examine the interdependency between liquidity and volatility estimates and find that liquidity on the European emerging markets is related to CBOE Volatility Index (VIX). Liquidity in the whole region decreases when VIX increases, and vice versa. The liquidity indices based on the extreme market movements show that there are no differences in commonality in time of extreme negative and positive returns. |
| first_indexed | 2024-12-10T06:55:22Z |
| format | Article |
| id | doaj.art-749b6cb7b86d4bf6b67e1d4d5b5805bf |
| institution | Directory Open Access Journal |
| issn | 2079-8954 |
| language | English |
| last_indexed | 2024-12-10T06:55:22Z |
| publishDate | 2019-04-01 |
| publisher | MDPI AG |
| record_format | Article |
| series | Systems |
| spelling | doaj.art-749b6cb7b86d4bf6b67e1d4d5b5805bf2022-12-22T01:58:27ZengMDPI AGSystems2079-89542019-04-01722410.3390/systems7020024systems7020024Commonality in Liquidity Indices: The Emerging European Stock MarketsBarbara Będowska-Sójka0Krzysztof Echaust1Department of Econometrics, Poznań University of Economics and Business, al. Niepodległości 10, 61-875 Poznań, PolandDepartment of Operations Research, Poznań University of Economics and Business, al. Niepodległości 10, 61-875 Poznań, PolandThe aim of the paper is to examine commonality in liquidity indices across emerging European stock markets. Five markets are included in the study: Hungarian, Czech, Polish, Russian and Turkish, in the period from 2008 to 2017. We propose liquidity indices that are based on low-frequency liquidity proxies and capture both the dynamics coming from volume and price changes. We find strong commonality of the liquidity indices across all examined markets which is robust to the choice of liquidity proxy. The dependence between indices enhances in times of crisis and large market declines, and weakens when markets become stable. We also examine the interdependency between liquidity and volatility estimates and find that liquidity on the European emerging markets is related to CBOE Volatility Index (VIX). Liquidity in the whole region decreases when VIX increases, and vice versa. The liquidity indices based on the extreme market movements show that there are no differences in commonality in time of extreme negative and positive returns.https://www.mdpi.com/2079-8954/7/2/24liquidityco-movementemerging marketscommonalityextremes |
| spellingShingle | Barbara Będowska-Sójka Krzysztof Echaust Commonality in Liquidity Indices: The Emerging European Stock Markets Systems liquidity co-movement emerging markets commonality extremes |
| title | Commonality in Liquidity Indices: The Emerging European Stock Markets |
| title_full | Commonality in Liquidity Indices: The Emerging European Stock Markets |
| title_fullStr | Commonality in Liquidity Indices: The Emerging European Stock Markets |
| title_full_unstemmed | Commonality in Liquidity Indices: The Emerging European Stock Markets |
| title_short | Commonality in Liquidity Indices: The Emerging European Stock Markets |
| title_sort | commonality in liquidity indices the emerging european stock markets |
| topic | liquidity co-movement emerging markets commonality extremes |
| url | https://www.mdpi.com/2079-8954/7/2/24 |
| work_keys_str_mv | AT barbarabedowskasojka commonalityinliquidityindicestheemergingeuropeanstockmarkets AT krzysztofechaust commonalityinliquidityindicestheemergingeuropeanstockmarkets |