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Market-Wide Commonality in Liquidity on the CEE-3 Emerging Stock Markets

In: Contemporary Trends and Challenges in Finance

Author

Listed:
  • Joanna Olbryś

    (Bialystok University of Technology)

Abstract

The purpose of this study is to explore market-wide commonality in liquidity on three emerging Central and Eastern European stock markets in Poland, Hungary, and the Czech Republic (the CEE-3). A modified version of the Amihud measure is utilized as daily liquidity proxy for a broad group of stocks. The research sample covers a period from January 2, 2012 to December 30, 2016 (5 years). In the study, the OLS method with the HAC covariance matrix estimation and the GARCH-type models are employed to infer the patterns of intra-market commonality in liquidity on the CEE-3 stock markets. In general, the regression results provide weak evidence of co-movements in liquidity on the investigated markets, considered separately. Therefore, no reason has been found to support market-wide commonality in liquidity on each CEE-3 stock market.

Suggested Citation

  • Joanna Olbryś, 2019. "Market-Wide Commonality in Liquidity on the CEE-3 Emerging Stock Markets," Springer Proceedings in Business and Economics, in: Krzysztof Jajuga & Hermann Locarek-Junge & Lucjan T. Orłowski & Karsten Staehr (ed.), Contemporary Trends and Challenges in Finance, pages 137-145, Springer.
    • Handle: RePEc:spr:prbchp:978-3-030-15581-0_13
    DOI: 10.1007/978-3-030-15581-0_13
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