Economics, Econometrics and Finance
7 years ago

Market liquidity on Warsaw Stock Exchange impacts cross-sectional stock variation.

Finanse, Rynki Finansowe, Ubezpieczenia
Stock liquidity on the Warsaw Stock Exchange in the 21st century: Time-series and cross-sectional dependencies
Szymon Stereńczak

Paper Summary

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The article examines stock liquidity on the Warsaw Stock Exchange from 2001 to 2016. The researchers used three measures to assess liquidity: transaction costs, price impact, and trading volume. They found that market liquidity moves in line with the Warsaw Stock Exchange Index and that as market liquidity decreases, the variation in stock liquidity among companies increases. This study is the first to explore this cross-sectional variation in stock liquidity on the WSE.