Liquidity measures and cost of trading in an illiquid market

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.