Liquidity Measures and Cost of Trading in an Illiquid Market

Armitage, Seth, Brzeszczynski, Janusz and Serdyuk, Anna (2014) Liquidity Measures and Cost of Trading in an Illiquid Market. Journal of Emerging Market Finance, 13 (2). pp. 155-196. ISSN 0972-6527

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Official URL: http://dx.doi.org/10.1177/0972652714541340

Abstract

We provide the first in-depth study of trading on the Ukrainian stock exchange, using trade-by-trade data. Although 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 under all market conditions.

Item Type: Article
Subjects: N100 Business studies
N300 Finance
Department: Faculties > Business and Law > Newcastle Business School > Accounting and Finance
Depositing User: Paul Burns
Date Deposited: 02 Oct 2014 11:15
Last Modified: 11 May 2017 08:24
URI: http://nrl.northumbria.ac.uk/id/eprint/17682

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