The Non-Trading Problem in Assessing Commonality in Liquidity on Emerging Stock Markets

Joanna Olbryś

DOI: http://dx.doi.org/10.12775/DEM.2018.004

Abstract


The purpose of this study is to explore commonality in liquidity on seven small emerging CEE stock markets in the Czech Republic, Hungary, Slovakia, Slovenia, Lithuania, Estonia, and Latvia, in the context of serious problems with stock illiquidity. The number of companies that reveal a substantial non-trading problem is large. A modified version of the Amihud measure is utilized as daily liquidity proxy for stocks. The OLS-HAC method and the GARCH-type models are employed to infer the patterns of commonality in liquidity. No reason has been found to support intra-market commonality in liquidity on each investigated stock exchange.


Keywords


CEE; commonality in liquidity; GARCH; HAC; non-trading problem

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ISSN (online) 2450-7067

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