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Liquidity of the Croatian Stock Market: An Empirical Analysis

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  • Jelena Z. Minovic

Abstract

In this paper we analysed liquidity of the Croatian stock market. Low level of liquidity is one of the key problem areas facing this small market. As the measures of liquidity we used the Zero Rates return by Lesmond et al. (1999), Price Pressure of non-trading as in Bekaert et al. (2007), and Turnover. For calculating the Zero Rates return, and Price Pressure measures we used prices of all stocks listed at the the Zagreb Stock Exchange in the period: 2005 - 2009. Results showed that the level of liquidity for the Croatian market is very low. For this market the least illiquid year was 2007 (the pre-crises year), and most illiquid year for Croatia was 2009. We showed that illiquidity is persistent in this market. The first measures of correlation between all illiquidity measure are given. Particularly, we demonstrated that the Croatian market is less illiquid than the Serbian market.

Suggested Citation

  • Jelena Z. Minovic, 2012. "Liquidity of the Croatian Stock Market: An Empirical Analysis," Economic Research-Ekonomska Istraživanja, Taylor & Francis Journals, vol. 25(3), pages 776-802, January.
    • Handle: RePEc:taf:reroxx:v:25:y:2012:i:3:p:776-802
    DOI: 10.1080/1331677X.2012.11517533
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