Finanse, Rynki Finansowe, Ubezpieczenia

Previously: Zeszyty Naukowe Uniwersytetu Szczecińskiego. Finanse, Rynki Finansowe, Ubezpieczenia

ISSN: 2450-7741     eISSN: 2300-4460    OAI    DOI: 10.18276/frfu.2017.86-30
CC BY-SA   Open Access 

Issue archive / 2/2017 (86)
Stock market liquidity and returns on the Warsaw Stock Exchange: An introductory survey

Authors: Szymon Stereńczak
Uniwersytet Ekonomiczny w Poznaniu
Keywords: stock liquidity stock returns Warsaw Stock Exchange pricing of liquidity
Year of publication:2017
Page range:12 (363-374)
Cited-by (Crossref) ?:

Abstract

Purpose – On developed capital markets, the effect of stock market liquidity on expected stock returns is well documented. However, there is still lack of comprehensive analysis in this field for Polish stock market. Previous studies made on the Warsaw Stock Exchange are ambiguous (see Gajdka et al. 2010, Olbryś 2013). The main goal of this paper is to analyze the impact of stock liquidity on its returns on the Warsaw Stock Exchange during the period 2011-2015. Design/Methodology/Approach – To measure the liquidity, Amihud illiquidity measure was computed. Time-series regression of excess return on realized and unexpected liquidity was used. Besides, the cross-sectional and pooled cross-sectional time-series regression to investigate the relationship between liquidity and stock returns was applied. Findings – The paper shows that illiquidity affects stock returns in the time-series and cross-section. This effect persists after controlling for size and book-to-market ratio. Originality/Value – The author is not aware of other studies using similar approach on the Polish capital market. Presented results justify further and more advanced research on the relationship between stock market liquidity and stock returns on the Warsaw Stock Exchange.
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