Measurement of stock market liquidity supported by an algorithm inferring the initiator of a trade
Journal Title: Operations Research and Decisions - Year 2017, Vol 27, Issue 4
Abstract
The aim of this study is to assess and analyse selected liquidity/illiquidity measures derived from high-frequency intraday data from the Warsaw Stock Exchange (WSE). As the side initiating a trade cannot be directly identified from a raw data set, firstly the Lee–Ready algorithm for inferring the initiator of a trade is employed to distinguish between so-called buyer- and seller-initiated trades. Intraday data for fifty-three WSE-listed companies divided into three size groups cover the period from January 3, 2005 to June 30, 2015. The paper provides an analysis of the robustness of the obtained results with respect to the whole sample and three consecutive subsamples, each of equal size: covering the precrisis, crisis, and post-crisis periods. The empirical results turn out to be robust to the choice of the period. Furthermore, hypotheses concerning the statistical significance of coefficients of correlation between the daily values of three liquidity proxies used in the study are tested.
Authors and Affiliations
Joanna OLBRYŚ, Michał MURSZTYN
Keywords
Related Articles
- EP ID EP323669
- DOI -
- Views 29
- Downloads 0
A multi-level decision making model for the supplier selection problem in a fuzzy situation
Supplier selection plays a vital role in evolving an effective supply chain and the overall performance of organisations. Choosing suppliers may involve different levels arranged in a hierarchical structure. Decisions ar...
Solving linear fractional multilevel programs
The linear fractional multilevel programming (LFMP) problem has been studied and it has been proved that an optimal solution to this problem occurs at a boundary feasible extreme point. Hence the Kth-best algorithm can b...
Factors affecting the result of matches in the one day format of cricket
Factors contributing to winning games are imperative, as the ultimate objective in a game is vic-tory. The aim of this study was to identify the factors that characterize the game of cricket, and to investigate the facto...
A one-pass heuristic for nesting problems
A two-dimensional cutting (packing) problem with items of irregular shape and rectangular sheets is studied. Three types of problems are considered: single-sheet problems without restrictions on the number of elements, s...
Internal determinants of firms’ innovativeness
This article presents an analysis of the determinants of a firm’s innovativeness deriving from its internal potential and characteristics. The analysis is based on research carried out on 1355 firms that applied for publ...