Stock Market Liquidity: Comparative Analysis of Croatian and Regional Markets
AbstractOn 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.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by Institute of Public Finance in its journal Financial Theory and Practice.
Volume (Year): 32 (2008)
Issue (Month): 4 ()
liquidity; stock market; Croatia; developing stock markets; Amihud’s illiquidity ratio; liquidity measures;
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Pástor, Luboš & Stambaugh, Robert F, 2002.
"Liquidity Risk and Expected Stock Returns,"
CEPR Discussion Papers
3494, C.E.P.R. Discussion Papers.
- Lubos Pastor & Robert F. Stambaugh, 2001. "Liquidity Risk and Expected Stock Returns," NBER Working Papers 8462, National Bureau of Economic Research, Inc.
- Luboš Pástor & Robert F. Stambaugh, . "Liquidity Risk and Expected Stock Returns," CRSP working papers 531, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
- Woon Gyu Choi & David Cook, 2006.
"Stock Market Liquidity and the Macroeconomy: Evidence from Japan,"
in: Monetary Policy under Very Low Inflation in the Pacific Rim, NBER-EASE, Volume 15, pages 309-340
National Bureau of Economic Research, Inc.
- Woon Gyu Choi & David Cook, 2005. "Stock Market Liquidity and the Macroeconomy: Evidence from Japan," IMF Working Papers 05/6, International Monetary Fund.
- Geert Bekaert & Campbell R. Harvey & Christian Lundblad, 2005.
"Liquidity and Expected Returns: Lessons From Emerging Markets,"
NBER Working Papers
11413, National Bureau of Economic Research, Inc.
- 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.
- Bekaert, Geert & Harvey, Campbell & Lundblad, Christian T., 2006. "Liquidity and Expected Returns: Lessons from Emerging Markets," CEPR Discussion Papers 5946, C.E.P.R. Discussion Papers.
- Gourieroux, Christian & Jasiak, Joanna & Le Fol, Gaelle, 1999. "Intra-day market activity," Journal of Financial Markets, Elsevier, vol. 2(3), pages 193-226, August.
- Bortolotti, Bernardo & de Jong, Frank & Nicodano, Giovanna & Schindele, Ibolya, 2004.
"Privatization and Stock Market Liquidity,"
SIFR Research Report Series
23, Institute for Financial Research.
- Ross Levine & Sergio Schmukler, 2005.
"Internationalization and Stock Market Liquidity,"
NBER Working Papers
11894, National Bureau of Economic Research, Inc.
- 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.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Martina Fabris).
If references are entirely missing, you can add them using this form.