Liquidity measures and cost of trading in an illiquid market

Seth Armitage, Janusz Brzeszczyński, Anna Serdyuk

    Research output: Contribution to journalArticlepeer-review

    2 Citations (Scopus)


    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
    Issue number2
    Publication statusPublished - Aug 2014


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


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