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Liquidity Proxies Based on Intraday Data: The Case of the Polish Order-Driven Stock Market

In: Advances in Panel Data Analysis in Applied Economic Research

Author

Listed:
  • Joanna Olbrys

    (Bialystok University of Technology)

  • Michal Mursztyn

    (Bialystok University of Technology)

Abstract

The objective of this paper is to estimate selected liquidity measures based on high-frequency intraday data and to examine their magnitude on the Warsaw Stock Exchange (WSE). We construct and analyze a panel of data which consists of daily proxies of five liquidity estimates for 53 WSE-traded companies divided into three size groups. Although the WSE is classified as an order-driven market with an electronic order book, the raw data set does not identify trade direction. Therefore, the trade classification Lee and Ready (J Finance 46(2):733–746, 1991) algorithm is employed to infer trade sides and to distinguish between so-called buyer- and seller-initiated trades. Moreover, the paper provides a robustness analysis of the obtained results with respect to the whole sample and three adjacent subsamples each of equal size: the precrisis, global financial crisis (GFC), and postcrisis periods. The constructed panel of data would be utilized in further investigation concerning commonality in liquidity on the Polish stock market.

Suggested Citation

  • Joanna Olbrys & Michal Mursztyn, 2018. "Liquidity Proxies Based on Intraday Data: The Case of the Polish Order-Driven Stock Market," Springer Proceedings in Business and Economics, in: Nicholas Tsounis & Aspasia Vlachvei (ed.), Advances in Panel Data Analysis in Applied Economic Research, chapter 0, pages 113-128, Springer.
    • Handle: RePEc:spr:prbchp:978-3-319-70055-7_9
    DOI: 10.1007/978-3-319-70055-7_9
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    Cited by:

    1. Joanna Olbrys, 2019. "Intra-market commonality in liquidity: new evidence from the Polish stock exchange," Equilibrium. Quarterly Journal of Economics and Economic Policy, Institute of Economic Research, vol. 14(2), pages 251-275, June.

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