Liquidity Proxies Based on Intraday Data: The Case of the Polish Order-Driven Stock Market
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.
KeywordsIntraday data Liquidity Trade classification algorithm Order-driven market Global financial crisis
This study was supported by the grant “Comparative research on commonality in liquidity on the Central and Eastern European stock markets” from the National Science Center, Poland, No. 2016/21/B/HS4/02004.
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