On Some Characteristics of Liquidity Proxy Time Series. Evidence from the Polish Stock Market
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.
KeywordsStock market Liquidity measure Time series Intraday data Daily data
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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