IDEAS home Printed from https://ideas.repec.org/a/fau/fauart/v67y2017i1p39-52.html
   My bibliography  Save this article

How Jumps Affect Liquidity? The Evidence from Poland

Author

Listed:
  • Barbara Bedowska-Sojka

    () (Poznan University of Economics)

Abstract

We examine the changes in liquidity measures around the price jumps detected in intraday returns. The sample consists of 5-minute returns from the most liquid stocks quoted on the Warsaw Stock Exchange. Within an event-study we show that the appearance of the jumps has a two-fold impact on the market liquidity. On the one hand, jumps coincide with the increase in the transaction costs measured by the quoted spread, and on the other hand jumps are accompanied by the increase in the trading quantity measured by trading volume or the number of trades. The price jumps also coincide with the increase in the Amihud’s illiquidity measure. All these effects are strong but short-lived, which constitutes the evidence for the market resiliency. Jumps are a result of the market inability to absorb huge orders without significant changes in the prices.

Suggested Citation

  • Barbara Bedowska-Sojka, 2017. "How Jumps Affect Liquidity? The Evidence from Poland," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 67(1), pages 39-52, March.
  • Handle: RePEc:fau:fauart:v:67:y:2017:i:1:p:39-52
    as

    Download full text from publisher

    File URL: http://journal.fsv.cuni.cz/storage/1378_bedowska_final_issue_01_2017.pdf
    Download Restriction: no

    More about this item

    Keywords

    liquidity; jumps; intraday data; event study;

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions; Probabilities
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:fau:fauart:v:67:y:2017:i:1:p:39-52. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Lenka Herrmannova). General contact details of provider: http://edirc.repec.org/data/icunicz.html .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.