Finanse, Rynki Finansowe, Ubezpieczenia

Previously: Zeszyty Naukowe Uniwersytetu Szczecińskiego. Finanse, Rynki Finansowe, Ubezpieczenia


ISSN: 2450-7741    OAI    DOI: 10.18276/frfu.2017.1.85-31
CC BY-SA   Open Access 

Issue archive / 1/2017 (85)
Pomiar naprężenia rynku na Giełdzie Papierów Wartościowych w Warszawie SA
(Measurement Of Market Tightness On Th e Warsaw Stock Exchange)

Authors: Joanna Olbryś
Politechnika Białostocka

Michał Mursztyn
Politechnika Białostocka
Keywords: dimensions of market liquidity market tightness Warsaw Stock Exchange Global Financial Crisis
Data publikacji całości:2017
Page range:10 (377-386)
Cited-by (Crossref) ?:

Abstract

Purpose – The main aim of the paper was an empirical analysis of market tightness as one of the market liquidity dimensions on the Warsaw Stock Exchange. The additional goal was a robustness analysis of results obtained with respect to the whole sample period January 2005–June 2015, and three adjacent subsamples of equal size: the pre-crisis, crisis, and post-crisis periods. Design/methodology/approach – The 53 WSE-listed companies from three size groups have been investigated. The high-frequency data was utilized. Market tightness was approximated using the relative spread bid/ask (RS). Findings – According to the literature, a wide relative spread denotes high market tightness and low stock liquidity. Conversely, a narrow relative spread denotes low market tightness and high stock liquidity. The empirical results reveal the smallest value of the RS indicator for the most liquid assets (e.g. KGH, OPL, PEO, PKN, PKO). Moreover, the results turned out to be robust to the choice of the sample and rather do not depend on a firm size.Originality/value – To the best of the authors’ knowledge, no such research has been undertaken for the Warsaw Stock Exchange thus far.
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