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Stock Market Liquidity: Comparative Analysis of Croatian and Regional Markets

  • Vladimir Benic

    (Privredna banka Zagreb, Zagreb, Croatia)

  • Ivna Franic

    (VIPnet usluge, Zagreb, Croatia)

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    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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    File URL: http://www.ijf.hr/eng/FTP/2008/4/benic-franic.pdf
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    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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    1. 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.
    2. 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.
    3. 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.
    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. Ross Levine & Sergio L. Schmukler, 2006. "Internationalization and Stock Market Liquidity," Review of Finance, European Finance Association, vol. 10(1), pages 153-187.
    6. Gouriéroux, Christian & Jasiak, Joanna & Le Fol, Gaëlle, 1999. "Intra-day market activity," Economics Papers from University Paris Dauphine 123456789/5478, Paris Dauphine University.
    7. Woon Gyu Choi & David Cook, 2005. "Stock Market Liquidity and the Macroeconomy; Evidence From Japan," IMF Working Papers 05/6, International Monetary Fund.
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