Journal article · 2021

Is liquidity wasted? The zero-returns on the Warsaw Stock Exchange

Będowska-Sójka, B.

Annals of Operations Research, 297(1), 37–51

DOI: 10.1007/s10479-020-03849-5

Abstract

The purpose of our study is to examine the dynamics of various liquidity proxies around specific price formation within intraday data. We examine the behavior of the measures representing price impact, depth of the market, its width and elasticity around intraday zero-return observations. Our sample is based upon quotations of blue chip stocks listed on the Warsaw Stock Exchange, one of the European emerging markets. This paper identifies an incoherent behavior of liquidity measures from different dimensions around intraday zero-returns. Although the transaction costs are lower and zero return configurations seem to offer better liquidity, this potential is not exploited as the trading activity measures decrease. The stock market is characterized by high resiliency as the observed changes in liquidity measures are short-term.

Keywords: liquidity, zero returns, intraday data, market microstructure, price impact, market depth, resiliency, Warsaw Stock Exchange, emerging markets

Full text: see the publisher version via DOI.

Research topics: Market liquidity and its measurement

Funding

Cite

@article{anor2021_zeroreturns,
  title = {Is liquidity wasted? The zero-returns on the Warsaw Stock Exchange},
  author = {Będowska-Sójka, B.},
  year = {2021},
  journal = {Annals of Operations Research},
  note = {297(1), 37–51},
  doi = {10.1007/s10479-020-03849-5}
}