scholarly journals State-Dependent Stock Liquidity Premium: The Case of the Warsaw Stock Exchange

2019 ◽  
Author(s):  
Szymon Stereńczak
Keyword(s):  
Stock Exchange ◽  
Liquidity Premium ◽  
Stock Liquidity ◽  
State Dependent ◽  
Warsaw Stock Exchange

scholarly journals State-Dependent Stock Liquidity Premium: The Case of the Warsaw Stock Exchange

2020 ◽  
Vol 8 (1) ◽  
pp. 13
Author(s):  
Szymon Stereńczak
Keyword(s):  
Stock Market ◽  
Emerging Markets ◽  
Stock Returns ◽  
Stock Exchange ◽  
Market Liquidity ◽  
Liquidity Premium ◽  
Stock Liquidity ◽  
Holding Period ◽  
State Dependent ◽  
Warsaw Stock Exchange

The effect of stock liquidity on stock returns is well documented in the developed capital markets, while similar studies on emerging markets are still scarce and their results ambiguous. This paper aims to analyze the state-dependent variance of liquidity premium in the Polish stock market. The Polish capital market may serve as a benchmark for other emerging markets in the region of Central and Eastern Europe, hence the results of this research should be of great interest for investors and policy makers in Poland and other post-communist European countries. In the empirical, study a unique empirical methodology has been applied, which guarantees the uniqueness of the results obtained. The results obtained suggest that on the Polish stock market exists stock liquidity premium, which is statistically significant, but constitutes only a small fraction of returns. It also does not increase during periods of bearish market, what results from the lengthening of average holding period when market liquidity decreases.

Conditional stock liquidity premium: is Warsaw stock exchange different?

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Szymon Stereńczak
Keyword(s):  
Emerging Markets ◽  
Stock Returns ◽  
Stock Exchange ◽  
Emerging Market ◽  
Market Liquidity ◽  
Investment Horizon ◽  
Liquidity Premium ◽  
Stock Liquidity ◽  
Content Type ◽  
Bear Market

Purpose This paper aims to empirically indicate the factors influencing stock liquidity premium (i.e. the relationship between liquidity and stock returns) in one of the leading European emerging markets, namely, the Polish one. Design/methodology/approach Various firms’ characteristics and market states are analysed as potentially affecting liquidity premiums in the Polish stock market. Stock returns are regressed on liquidity measures and panel models are used. Liquidity premium has been estimated in various subsamples. Findings The findings vividly contradict the common sense that liquidity premium raises during the periods of stress. Liquidity premium does not increase during bear markets, as investors lengthen the investment horizon when market liquidity decreases. Liquidity premium varies with the firm’s size, book-to-market value and stock risk, but these patterns seem to vanish during a bear market. Originality/value This is one of the first empirical papers considering conditional stock liquidity premium in an emerging market. Using a unique methodological design it is presented that liquidity premium in emerging markets behaves differently than in developed markets.

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

e-Finanse ◽  
2017 ◽  
Vol 13 (4) ◽  
pp. 136-148
Author(s):  
Agata Gniadkowska-Szymańska
Keyword(s):  
Stock Return ◽  
Stock Exchange ◽  
Futures Contracts ◽  
Stock Exchanges ◽  
Stock Liquidity ◽  
Baltic Countries ◽  
Warsaw Stock Exchange ◽  
Long Time ◽  
The Baltic ◽  
The Impact

AbstractEach 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.

scholarly journals Analysis of the Impact of Trading Liquidity on the Development of Investment Time Horizon on the Example of the Warsaw Stock Exchange

2017 ◽  
Vol 4 (324) ◽  
Author(s):  
Agata Gniadkowska-Szymańska
Keyword(s):  
Stock Exchange ◽  
Investment Horizon ◽  
Stock Liquidity ◽  
Holding Period ◽  
Time Period ◽  
Common Stocks ◽  
Warsaw Stock Exchange ◽  
Long Time ◽  
The Cost ◽  
The Impact

The importance of liquidity has been acknowledged for a long time now. Liquidity is defined as the ease with which an asset can be converted into cash. A considerable number of studies investigated stock liquidity providing evidence that more illiquid stocks yield higher returns which include an illiquidity premium. According to Amihuda and Mendelson (1986b: 43–48), a required rate of return on the shares (gross, i.e. after taking into account the cost of liquidity) should increase with increasing liquidity, but the marginal increase should decrease with an increasing investment horizon, thus decreasing the likelihood of premature termination of the investment. As a result, investors with different investment horizons may require different rates of return per unit of time from the same shares (Huang 2003: 104–129). Investor horizon is the time period for which an investor holds a stock. Most of the research conducted on investment horizon links it to liquidity, supporting the thesis that it is negatively related to liquidity. “Transaction costs and the holding periods for common stocks” written by Atkins and Dyl (1997: 309–325) is one of the first papers to investigate the effects of liquidity on holding period. The aim of this study is to show the dependencies occurring between the phenomena of investment horizon and asymmetric information and the liquidity of shares of a company.

scholarly journals The Impact of Trade Liquidity on the Rates of Return from Emerging Market Shares Based on the Example of Poland, Austria and Hungary

2019 ◽  
Vol 4 (343) ◽  
pp. 137-157
Author(s):  
Agata Gniadkowska - Szymańska
Keyword(s):  
Stock Returns ◽  
Stock Exchange ◽  
Emerging Market ◽  
Futures Contracts ◽  
Stock Liquidity ◽  
Market Shares ◽  
Warsaw Stock Exchange ◽  
Long Time ◽  
Alternative Test ◽  
The Impact

In relation to assets, liquidity generally relates to the ease by which an asset can be sold immediately after purchase without incurring losses of any kind. These losses could be due to price changes or various transaction costs. 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 a long time ago. 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”. This paper examines various factors which have an effect on liquidity by presenting the results of research concerning relations between liquidity and stock returns on the Warsaw Stock Exchange (WSE), the Budapest Stock Exchange (BSE) and the Vienna Stock Exchange (VSE). The main objective of the study is to determine whether there is a statistically significant relationship between the trading liquidity of the shares and the evolution of the rate of return on these shares. The applied research methodology is similar to that described by Datar, Naik and Radcliffe in their work “Liquidity and Stock Returns: An Alternative Test”.

scholarly journals Impact of a Company’s Dividend Policy on the Liquidity of Shares Listed on the Warsaw Stock Exchange

e-Finanse ◽  
2017 ◽  
Vol 13 (3) ◽  
pp. 24-32
Author(s):  
Agata Gniadkowska-Szymańska
Keyword(s):  
Dividend Policy ◽  
Stock Exchange ◽  
Information Environment ◽  
Stock Liquidity ◽  
Controlling Shareholders ◽  
Dividend Payments ◽  
Warsaw Stock Exchange ◽  
Alternative Measures ◽  
Informational Effect ◽  
A Company

AbstractThis study investigates the informational effect of stock liquidity on dividend payouts. Using a sample of Polish listed companies during 2000 - 2012, I do not find a relation between stock liquidity and dividend payouts. This result is robust to the use of alternative measures of liquidity, and holds after we control for endogeneity concerns. In accord with my hypothesis that stock liquidity provides information and increases insiders’ incentive to pay out dividends, I do not find that the relation between stock liquidity and dividend payouts is more pronounced when the information environment is opaque, and when conflict between controlling shareholders and minority investors is severe.The aim of this study is to show the dependencies occurring between dividend policy and the liquidity of shares of a company. The basic thesis of this study is that decisions on dividend payments positively affect the liquidity of the shares of a company.

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