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How to Measure Illiquidity on European Emerging Stock Markets?

Author

Listed:
  • Vidović Jelena

    (University of Split, The University Department of Professional Studies, Croatia)

  • Poklepović Tea
  • Aljinović Zdravka

    (University of Split, Faculty of Economics, Croatia)

Abstract

Background: Liquidity is, in practice of portfolio investment, an important attribute of stocks and measuring illiquidity presents a real challenge for researchers, primarily on developed stock markets. Moreover, there is a lack of research dealing with (il)liquidity on emerging markets. In the paper, the problem of applicability and validity of two well-known illiquidity measures, ILLIQ and TURN, on European emerging markets is observed. Objectives: The paper has two main purposes. The first is to test the relative performance of the two selected illiquidity measures in terms of their validity on European emerging stock markets. The second is to propose a new and improved illiquidity measure named Relative Change in Volume (RCV).

Suggested Citation

  • Vidović Jelena & Poklepović Tea & Aljinović Zdravka, 2014. "How to Measure Illiquidity on European Emerging Stock Markets?," Business Systems Research, Sciendo, vol. 5(3), pages 67-81, September.
    • Handle: RePEc:bit:bsrysr:v:5:y:2014:i:3:p:67-81
    DOI: 10.2478/bsrj-2014-0020
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    References listed on IDEAS

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