TY - JOUR
T1 - Liquidity Measures and Cost of Trading in an Illiquid Market
AU - Armitage, Seth
AU - Brzeszczynski, Janusz
AU - Serdyuk, Anna
PY - 2014/8
Y1 - 2014/8
N2 - We provide the first in-depth study of trading on the Ukrainian stock exchange, using trade-by-trade data. Although 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 under all market conditions.
AB - We provide the first in-depth study of trading on the Ukrainian stock exchange, using trade-by-trade data. Although 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 under all market conditions.
U2 - 10.1177/0972652714541340
DO - 10.1177/0972652714541340
M3 - Article
SN - 0972-6527
VL - 13
SP - 155
EP - 196
JO - Journal of Emerging Market Finance
JF - Journal of Emerging Market Finance
IS - 2
ER -
