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

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Advances in Time Series Data Methods in Applied Economic Research (ICOAE 2018)

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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.

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Acknowledgements

This study was supported by the grant “Comparative research on commonality in liquidity on the Central and Eastern European stock markets” from the National Science Centre in Poland, No. 2016/21/B/HS4/02004.

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Authors and Affiliations

  1. Bialystok University of Technology, Wiejska 45A, 15-351, Bialystok, Poland

    Joanna Olbrys & Michal Mursztyn

Authors
  1. Joanna Olbrys
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  2. Michal Mursztyn
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Corresponding author

Correspondence to Joanna Olbrys .

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Editors and Affiliations

  1. Department of International Trade, Western Macedonia University of Applied Sciences, Kastoria, Greece

    Nicholas Tsounis

  2. Department of International Trade, Western Macedonia University of Applied Sciences, Kastoria, Greece

    Aspasia Vlachvei

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Olbrys, J., Mursztyn, M. (2018). On Some Characteristics of Liquidity Proxy Time Series. Evidence from the Polish Stock Market. In: Tsounis, N., Vlachvei, A. (eds) Advances in Time Series Data Methods in Applied Economic Research. ICOAE 2018. Springer Proceedings in Business and Economics. Springer, Cham. https://doi.org/10.1007/978-3-030-02194-8_13

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