IDEAS home Printed from https://ideas.repec.org/a/mes/emfitr/v47y2011i0p54-79.html
   My bibliography  Save this article

Market Liquidity and Public Announcements' Disclosure Quality on Tallinn, Riga, and Vilnius Stock Exchanges

Author

Listed:
  • Laivi Laidroo

Abstract

This paper investigates the association between market liquidity and public announcements' disclosure quality on three emerging markets in the Baltics—the Tallinn, Riga, and Vilnius Stock Exchanges. The results show that disclosure quality, disclosure quantity, and above average disclosure quality level of the current year reduces the spread on the following year, as expected. The increase in disclosure quality level leads to greater volume on the same year; higher disclosure quality leads to lower illiquidity ratio on the following year; increase in disclosure quality, number of announcements, and above average disclosure level leads to higher volatility on the same year; and increase in number of announcements leads to higher combined liquidity measure on the following year, as expected. Still, unlike in previous studies, the spread and illiquidity ratio seem to react more slowly to the disclosure quality/quantity change compared to volume and volatility.

Suggested Citation

  • Laivi Laidroo, 2011. "Market Liquidity and Public Announcements' Disclosure Quality on Tallinn, Riga, and Vilnius Stock Exchanges," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 47(0), pages 54-79, July.
    • Handle: RePEc:mes:emfitr:v:47:y:2011:i:0:p:54-79
    as

    Download full text from publisher

    File URL: http://mesharpe.metapress.com/link.asp?target=contribution&id=E4WN872423117117
    Download Restriction: Access to full text is restricted to subscribers.
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Zreik, Ousayna & Louhichi, Waël, 2017. "Risk sentiment and firms’ liquidity in the French market," Research in International Business and Finance, Elsevier, vol. 39(PB), pages 809-823.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:mes:emfitr:v:47:y:2011:i:0:p:54-79. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/MREE20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.