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Liquidity Measures and Cost of Trading in an Illiquid Market

Author

Listed:
  • Seth Armitage

    (Seth Armitage, University of Edinburgh Business School, 29 Buccleuch Place, Edinburgh, EH8 9JS, United Kingdom. E-mail: seth.armitage@ed.ac.uk)

  • Janusz BrzeszczyÅ„ski

    (Janusz Brzeszczyński (corresponding author), Department of Accounting and Financial Management, Newcastle Business School (NBS), Northumbria University, City Campus East, Newcastle-upon-Tyne, NE1 8ST, United Kingdom. E-mail: janusz.brzeszczynski@northumbria.ac.uk)

  • Anna Serdyuk

    (Anna Serdyuk, University of Edinburgh Business School, 29 Buccleuch Place, Edinburgh, EH8 9JS, United Kingdom. E-mail: anna.serdyuk@yahoo.com)

Abstract

We provide the first in-depth study of trading on the Ukrainian stock exchange, using trade-by-trade data. Although Ukraine has some large listed companies, the market is quite illiquid. We study the efficiency of five liquidity measures in the market. The proportion of no-trading days is the most reliable of the five, while turnover, which is widely used in the literature, is a poor measure. On trading cost, trades in all size categories are executed within the quoted spread, as in other dealership markets, with medium-sized trades being the cheapest. The cost of sales is higher than the cost of purchases under all market conditions. JEL Classification: G15, C51

Suggested Citation

  • Seth Armitage & Janusz BrzeszczyÅ„ski & Anna Serdyuk, 2014. "Liquidity Measures and Cost of Trading in an Illiquid Market," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 13(2), pages 155-196, August.
    • Handle: RePEc:sae:emffin:v:13:y:2014:i:2:p:155-196
    DOI: 10.1177/0972652714541340
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    References listed on IDEAS

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    1. Brzeszczyński, Janusz & Gajdka, Jerzy & Kutan, Ali M., 2015. "Investor response to public news, sentiment and institutional trading in emerging markets: A review," International Review of Economics & Finance, Elsevier, vol. 40(C), pages 338-352.

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    More about this item

    Keywords

    Liquidity; cost of trading; emerging stock market; market microstructure; Ukraine;
    All these keywords.

    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation

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