<abstract xmlns="http://www.w3.org/1999/xhtml"><p>Each type of investment has its own liquidity, i.e. the speed with which it can be converted into money. This can be seen with respect to various instruments (such as stocks or futures contracts), market segments, or even entire exchanges. The importance of liquidity has been acknowledged for a long time. A considerable number of studies have investigated stock liquidity, providing evidence that more illiquid stocks have higher returns, which may be deemed an ‚illiquidity premium’. In this paper I present various factors which have an effect on liquidity by presenting the results of research concerning relations between liquidity and stock return on the Warsaw Stock Exchange (WSE) and Nasdaq stock exchanges in Tallinn, Riga and Vilnius.</p></abstract>

Each type of investment has its own liquidity, i.e. the speed with which it can be converted into money. This can be seen with respect to various instruments (such as stocks or futures contracts), market segments, or even entire exchanges. The importance of liquidity has been acknowledged for a long time. A considerable number of studies have investigated stock liquidity, providing evidence that more illiquid stocks have higher returns, which may be deemed an ‚illiquidity premium’. In this paper I present various factors which have an effect on liquidity by presenting the results of research concerning relations between liquidity and stock return on the Warsaw Stock Exchange (WSE) and Nasdaq stock exchanges in Tallinn, Riga and Vilnius.

The impact of trading liquidity on the rate of return on emerging markets: the example of Poland and the Baltic countries

Faculty of Economics and Sociology, Department of Economics of Industry and Capital Markets

Financial Internet Quarterly

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License.

Each type of investment has its own liquidity, i.e. the speed with which it can be converted into money. This can be seen with respect to various instruments...

The impact of trading liquidity on the rate of return on emerging markets: the example of Poland and the Baltic countries

Publicado en línea: 06 ago 2018

Páginas: 136 - 148

Recibido: 20 jun 2017

Aceptado: 20 dic 2017

DOI: https://doi.org/10.1515/fiqf-2016-0042

Palabras clave
illiquidity premium, capital market, liquidity of shares

© 2017 Agata Gniadkowska-Szymańska, published by Sciendo

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License.

The impact of trading liquidity on the rate of return on emerging markets: the example of Poland and the Baltic countries

Publicado en línea: 06 ago 2018

Páginas: 136 - 148

Recibido: 20 jun 2017

Aceptado: 20 dic 2017

DOI: https://doi.org/10.1515/fiqf-2016-0042

Palabras claveilliquidity premium, capital market, liquidity of shares

© 2017 Agata Gniadkowska-Szymańska, published by Sciendo

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License.

Palabras clave
illiquidity premium, capital market, liquidity of shares