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On Some Characteristics of Liquidity Proxy Time Series. Evidence from the Polish Stock Market

In: Advances in Time Series Data Methods in Applied Economic Research

Author

Listed:
  • Joanna Olbrys

    (Bialystok University of Technology)

  • Michal Mursztyn

    (Bialystok University of Technology)

Abstract

The aim of this paper is to investigate major statistical properties of selected liquidity proxy time series based on high frequency (intraday) and low frequency (daily) data from the Warsaw Stock Exchange (WSE). We analyse daily time series of six liquidity estimates for the group of eighty-six WSE-traded companies, in the period from January 2005 to December 2016. These liquidity measures are: (1) percentage relative spread, (2) percentage realized spread, (3) percentage price impact, (4) percentage order ratio, (5) the modified daily turnover, and (6) the modified version of daily Amihud measure. We test distributional properties, linear and non-linear dependences, as well as stationarity of the analysed daily time series. Assessing statistical properties of time series of liquidity proxies is crucial for further research on econometric modelling of commonality in liquidity on the WSE.

Suggested Citation

  • Joanna Olbrys & Michal Mursztyn, 2018. "On Some Characteristics of Liquidity Proxy Time Series. Evidence from the Polish Stock Market," Springer Proceedings in Business and Economics, in: Nicholas Tsounis & Aspasia Vlachvei (ed.), Advances in Time Series Data Methods in Applied Economic Research, chapter 0, pages 177-189, Springer.
    • Handle: RePEc:spr:prbchp:978-3-030-02194-8_13
    DOI: 10.1007/978-3-030-02194-8_13
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    Cited by:

    1. Joanna Olbrys, 2019. "Intra-market commonality in liquidity: new evidence from the Polish stock exchange," Equilibrium. Quarterly Journal of Economics and Economic Policy, Institute of Economic Research, vol. 14(2), pages 251-275, June.
    2. Joanna Olbryś & Elżbieta Majewska, 2020. "Assessing Commonality in Liquidity with Principal Component Analysis: The Case of the Warsaw Stock Exchange," JRFM, MDPI, vol. 13(12), pages 1-13, December.

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