Liquidity measures and cost of trading in an illiquid market.

Armitage, Seth; Brzeszczyński, Janusz; Serdyuk, Anna

Abstract

We provide the first in-depth study of trading on the Ukrainian stock exchange, using trade-by-trade data. Though Ukraine has some large listed companies, the market is quite illiquid. We study the efficiency of five liquidity measures in the market. The proportion of no-trading days is the most reliable of the five, while turnover, which is widely used in the literature, is a poor measure. On trading cost, trades in all size categories are executed within the quoted spread, as in other dealership markets, with medium-sized trades being the cheapest. The cost of sales is higher than the cost of purchases in all market conditions.

Citation

ARMITAGE, S., BRZESZCZYNSKI, J. and SERDYUK, A. 2014. Liquidity measures and cost of trading in an illiquid market. Journal of emerging market finance [online], 13(2), pages 155-196. Available from: https://doi.org/10.1177/0972652714541340

• Journal Article Type: Article
• Acceptance Date: Feb 8, 2012
• Online Publication Date: Sep 17, 2014
• Publication Date: Aug 31, 2014
• Deposit Date: Jun 13, 2023
• Publicly Available Date: Jun 13, 2023
• Journal: Journal of emerging market finance
• Print ISSN: 0972-6527
• Electronic ISSN: 0973-0710
• Publisher: SAGE Publications
• Peer Reviewed: Peer Reviewed
• Volume: 13
• Issue: 2
• Pages: 155-196
• DOI: https://doi.org/10.1177/0972652714541340
• Keywords: Liquidity; Cost of trading; Emerging stock market; Market microstructure; Ukraine
• Public URL: https://rgu-repository.worktribe.com/output/1987631