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Porownanie miesiecznych miar plynnosci akcji spolek notowanych na GPW wyznaczanych na podstawie danych niskiej czestotliwosci

Author

Listed:
  • Barbara Bedowska-Sojka

    (Uniwersytet Ekonomiczny w Poznaniu, Wydzial Informatyki i Gospodarki Elektronicznej, Katedra Ekonometrii)

Abstract

The purpose of this article is to examine the relationship between liquidity measures based on publicly available low-frequency data such as four prices: highest, lowest, opening and closing, as well as trading volume. Liquidity measures that are widely used in the literature have been determined for selected companies continuously listed on the WSE in 2000–2015. Based on daily data, monthly liquidity measures have been determined and relationships between measures have been analyzed. It is shown that liquidity indicators designed on the basis of low-frequency data that measure the impact on prices and the impact on activity provide similar information. The consistency of measures describing different dimensions of liquidity is an argument for their application.

Suggested Citation

  • Barbara Bedowska-Sojka, 2017. "Porownanie miesiecznych miar plynnosci akcji spolek notowanych na GPW wyznaczanych na podstawie danych niskiej czestotliwosci," Problemy Zarzadzania, University of Warsaw, Faculty of Management, vol. 15(66), pages 178-192.
    • Handle: RePEc:sgm:pzwzuw:v:15:i:66:y:2017:p:178-192
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    References listed on IDEAS

    as
    1. Geert Bekaert & Campbell R. Harvey & Christian Lundblad, 2007. "Liquidity and Expected Returns: Lessons from Emerging Markets," The Review of Financial Studies, Society for Financial Studies, vol. 20(6), pages 1783-1831, November.
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    8. Karpoff, Jonathan M., 1987. "The Relation between Price Changes and Trading Volume: A Survey," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 22(1), pages 109-126, March.
    9. Shane A. Corwin & Paul Schultz, 2012. "A Simple Way to Estimate Bid‐Ask Spreads from Daily High and Low Prices," Journal of Finance, American Finance Association, vol. 67(2), pages 719-760, April.
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    More about this item

    Keywords

    liquidity; valuation of assets; Polish capital market;
    All these keywords.

    JEL classification:

    • G2 - Financial Economics - - Financial Institutions and Services

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