Liquidity measures and cost of trading in an illiquid market

Seth Armitage, Janusz Brzeszczyński, Anna Serdyuk

    Research output: Contribution to journalArticle

    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.
    Original languageEnglish
    Pages (from-to)155-196
    Number of pages42
    JournalJournal of Emerging Market Finance
    Volume13
    Issue number2
    DOIs
    Publication statusPublished - Aug 2014

    Fingerprint

    Illiquid markets
    Costs
    Liquidity
    Listed companies
    Ukraine
    Trading costs
    Purchase
    Turnover
    Stock exchange
    Proportion
    Market conditions

    Keywords

    • liquidity
    • cost of trading
    • emerging stock market
    • market microstructure

    Cite this

    Armitage, Seth ; Brzeszczyński, Janusz ; Serdyuk, Anna. / Liquidity measures and cost of trading in an illiquid market. In: Journal of Emerging Market Finance. 2014 ; Vol. 13, No. 2. pp. 155-196.
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    Liquidity measures and cost of trading in an illiquid market. / Armitage, Seth; Brzeszczyński, Janusz; Serdyuk, Anna.

    In: Journal of Emerging Market Finance, Vol. 13, No. 2, 08.2014, p. 155-196.

    Research output: Contribution to journalArticle

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