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Stock Market Liquidity: Comparative Analysis of Croatian and Regional Markets

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  • Vladimir Benic

    (Privredna banka Zagreb, Zagreb, Croatia)

  • Ivna Franic

    (VIPnet usluge, Zagreb, Croatia)

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    Abstract

    On the Croatian stock market liquidity has never been in the focus of academic research, thus we find it necessary to observe liquidity at the aggregate level. This paper observes multi-dimensional liquidity through the impact of turnover on price change together with several one-dimensional measures. In our empirical research we applythe illiquidity measureto seven different stock markets. We focus on the Croatian stock market as compared to other markets in the Central and Eastern Europe and German market. The results of the research indicate a substantial level of illiquidity in the Croatian and other developing markets.

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    Bibliographic Info

    Article provided by Institute of Public Finance in its journal Financial Theory and Practice.

    Volume (Year): 32 (2008)
    Issue (Month): 4 ()
    Pages: 477-498

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    Handle: RePEc:ipf:finteo:v:32:y:2008:i:4:p:477-498

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    Related research

    Keywords: liquidity; stock market; Croatia; developing stock markets; Amihud’s illiquidity ratio; liquidity measures;

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    1. Pástor, Luboš & Stambaugh, Robert F, 2002. "Liquidity Risk and Expected Stock Returns," CEPR Discussion Papers 3494, C.E.P.R. Discussion Papers.
    2. Bortolotti, Bernardo & de Jong, Frank & Nicodano, Giovanna & Schindele, Ibolya, 2004. "Privatization and Stock Market Liquidity," CEPR Discussion Papers 4449, C.E.P.R. Discussion Papers.
    3. Gouriéroux, Christian & Jasiak, Joanna & Le Fol, Gaëlle, 1999. "Intra-day market activity," Economics Papers from University Paris Dauphine 123456789/5478, Paris Dauphine University.
    4. Amihud, Yakov, 2002. "Illiquidity and stock returns: cross-section and time-series effects," Journal of Financial Markets, Elsevier, vol. 5(1), pages 31-56, January.
    5. Geert Bekaert & Campbell R. Harvey & Christian Lundblad, 2007. "Liquidity and Expected Returns: Lessons from Emerging Markets," Review of Financial Studies, Society for Financial Studies, vol. 20(6), pages 1783-1831, November.
    6. Woon Gyu Choi & David Cook, 2005. "Stock Market Liquidity and the Macroeconomy," IMF Working Papers 05/6, International Monetary Fund.
    7. Ross Levine & Sergio L. Schmukler, 2006. "Internationalization and Stock Market Liquidity," Review of Finance, European Finance Association, vol. 10(1), pages 153-187.
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