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The impact of trading liquidity on the rate of return on emerging markets: the example of Poland and the Baltic countries

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  • Gniadkowska-Szymańska Agata

    (University of Lodz, Faculty of Economics and Sociology, Department of Economics of Industry and Capital Markets)

Abstract

Each type of investment has its own liquidity, i.e. the speed with which it can be converted into money. This can be seen with respect to various instruments (such as stocks or futures contracts), market segments, or even entire exchanges. The importance of liquidity has been acknowledged for a long time. A considerable number of studies have investigated stock liquidity, providing evidence that more illiquid stocks have higher returns, which may be deemed an ‚illiquidity premium’. In this paper I present various factors which have an effect on liquidity by presenting the results of research concerning relations between liquidity and stock return on the Warsaw Stock Exchange (WSE) and Nasdaq stock exchanges in Tallinn, Riga and Vilnius.

Suggested Citation

  • Gniadkowska-Szymańska Agata, 2017. "The impact of trading liquidity on the rate of return on emerging markets: the example of Poland and the Baltic countries," Financial Internet Quarterly (formerly e-Finanse), Sciendo, vol. 13(4), pages 136-148, December.
    • Handle: RePEc:vrs:finiqu:v:13:y:2017:i:4:p:136-148:n:11
    DOI: 10.1515/fiqf-2016-0042
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    References listed on IDEAS

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    More about this item

    Keywords

    illiquidity premium; capital market; liquidity of shares;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G4 - Financial Economics - - Behavioral Finance
    • F30 - International Economics - - International Finance - - - General
    • F50 - International Economics - - International Relations, National Security, and International Political Economy - - - General

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