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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Armitage Brzeszczyński and Serdyuk - Cost of Trading in an Illiquid Market.pdf - Accepted Version Download (1MB) | Preview |
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 |
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| Subjects: | N100 Business studies N300 Finance |
| Department: | Faculties > Business and Law > Newcastle Business School |
| Depositing User: | Paul Burns |
| Date Deposited: | 02 Oct 2014 11:15 |
| Last Modified: | 31 Jul 2021 22:04 |
| URI: | http://nrl.northumbria.ac.uk/id/eprint/17682 |
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