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 44
- Downloads 0
An EWMA control chart for the exponential distribution using repetitive sampling plan
A new EWMA control chart has been proposed under repetitive sampling when a quantitative characteristic follows the exponential distribution. The properties of the proposed chart, including the average run lengths has be...
A control chart using belief information for a gamma distribution
The design of a control chart has been presented using a belief estimator by assuming that the quantitative characteristic of interest follows the gamma distribution. The authors present the structure of the proposed cha...
A comparative analysis of methods of measuring a company's intellectual capital.
Intellectual capital is, in general, considered to be a component of a company’s market value, which is not always reflected in its financial statements. The authors analyzed 21 of the most common methods of measuring co...
Analysis of complex decision problems based on cumulative prospect theory
Complex risky decision problems involve sequences of decisions and random events. The choice at a given stage depends on the decisions taken in the previous stages, as well as on the realizations of the random events tha...
EDITORIAL
This special issue of the Operations Research and Decisions is dedicated to the Spain-Italy-Netherlands Meeting on Game Theory SING 10, an international meeting that started as a reference point for game theorists mainly...