Research topic
Market liquidity and its measurement
Liquidity is not observed directly. We compare low-frequency liquidity proxies built from daily prices with high-frequency benchmarks and ask which proxies work, when they fail and how liquidity co-moves with volatility.
Main questions
Which daily proxy best tracks unobserved liquidity, especially in periods of extreme illiquidity? Are proxies that capture different dimensions of liquidity – price impact, depth, width, resiliency – coherent with each other? How does liquidity react to price jumps, zero returns and aggressive orders? Is there commonality in liquidity across stocks and markets?
Methods
Intraday benchmarks of spreads and price impact, copulas and tail dependence, extreme value theory, causality tests and mixed-frequency (MIDAS) models, applied to the Warsaw Stock Exchange, other European markets and cryptocurrency markets.
Key findings
Under extreme illiquidity, the Closing Quoted Spread based on daily bid and ask prices is the best low-frequency proxy; it shows the highest tail dependence with intraday percent spreads.
Around intraday zero returns, liquidity measures from different dimensions behave incoherently: transaction costs fall, but trading activity drops, and the effects are short-lived.
Publications (24)
When markets never sleep: Intraday liquidity patterns and macroeconomic announcement effects in cryptocurrency trading
Mercik, A.R., Będowska-Sójka, B. (2026). SSRN Working Paper.
When size matters: Volatility-to-liquidity transmission in cryptocurrency networks
Będowska-Sójka, B., Mercik, A.R. (2026). SSRN Working Paper.
Transmission dynamics in crypto markets: Comparing volatility and liquidity spillover networks
Będowska-Sójka, B. (2025). IDA-CL / Bucharest University of Economic Studies.
Do mixed-data sampling models help forecast liquidity and volatility?
Będowska-Sójka, B., Kliber, A. (2022). Przegląd Statystyczny, 69(2), 1–19.
The asymmetry of the Amihud illiquidity measure on the European markets: The evidence from Extreme Value Theory
Będowska-Sójka, B., Echaust, K., Just, M. (2022). Journal of International Financial Markets, Institutions and Money, 78, 101563.
Information content of liquidity and volatility measures
Będowska-Sójka, B., Kliber, A. (2021). Physica A: Statistical Mechanics and its Applications, 563, 125436.
Is Bitcoin still a king? Relationships between prices, volatility and liquidity of cryptocurrencies during the pandemic
Będowska-Sójka, B., Kliber, A., Rutkowska, A. (2021). Entropy, 23(11), 1386.
Is liquidity wasted? The zero-returns on the Warsaw Stock Exchange
Będowska-Sójka, B. (2021). Annals of Operations Research, 297(1), 37–51.
Do aggressive orders affect liquidity? An evidence from an emerging market
Będowska-Sójka, B. (2020). Research in International Business and Finance, 54, 101307.
Do liquidity proxies based on daily prices and quotes really measure liquidity?
Będowska-Sójka, B., Echaust, K. (2020). Entropy, 22(7), 783.
Liquidity of the European indices: The developed versus the emerging markets
Będowska-Sójka, B. (2020). Finance and Sustainability (Springer Proceedings in Business and Economics), 249–260.
Volatility and liquidity in cryptocurrency markets—The causality approach
Będowska-Sójka, B., Hinc, T., Kliber, A. (2020). Contemporary Trends and Challenges in Finance (Springer Proceedings in Business and Economics), 31–43.
What is the best proxy for liquidity in the presence of extreme illiquidity?
Będowska-Sójka, B., Echaust, K. (2020). Emerging Markets Review, 43, 100695.
Commonality in liquidity indices: The emerging European stock markets
Będowska-Sójka, B., Echaust, K. (2019). Systems, 7(2), 24.
Commonality in liquidity measures. The evidence from the Polish stock market
Będowska-Sójka, B. (2019). Hradec Economic Days, 9(1), 29–40.
Liquidity on the capital market with asymmetric information
Będowska-Sójka, B., Garsztka, P. (2019). Effective Investments on Capital Markets (Springer Proceedings in Business and Economics), 383–392.
The causality between liquidity and volatility in the Polish stock market
Będowska-Sójka, B., Kliber, A. (2019). Finance Research Letters, 30, 110–115.
The dynamics of low-frequency liquidity measures: The developed versus the emerging market
Będowska-Sójka, B. (2019). Journal of Financial Stability, 42, 136–142.
Emerging and mature markets – behaviour of low-frequency liquidity measures. The case of the German and Polish stock markets
Będowska-Sójka, B. (2018). Problemy Zarządzania / European Management Studies, 16(76), 24–36.
The coherence of liquidity measures. The evidence from the emerging market
Będowska-Sójka, B. (2018). Finance Research Letters, 27, 118–123.
How jumps affect liquidity? The evidence from Poland
Będowska-Sójka, B. (2017). Finance a úvěr – Czech Journal of Economics and Finance, 67(1), 39–52.
Porównanie miesięcznych miar płynności akcji spółek notowanych na GPW wyznaczanych na podstawie danych niskiej częstotliwości
Będowska-Sójka, B. (2017). Problemy Zarządzania / European Management Studies, 15(66), 178–192.
Liquidity dynamics around jumps: The evidence from the Warsaw Stock Exchange
Będowska-Sójka, B. (2016). Emerging Markets Finance and Trade, 52(12), 2740–2755.
Intraday stealth trading: Evidence from the Warsaw Stock Exchange
Będowska-Sójka, B. (2014). Economics and Business Review, 14(1), 5–19.
Conference talks (5)
When Markets Never Sleep: Intraday Liquidity Patterns and Volatility Effects in Cryptocurrency Trading
IX Wrocław Conference in Finance (WROFIN), Wrocław, Poland, May 2026
When Markets Never Sleep: Intraday Liquidity Patterns and Volatility Effects in Cryptocurrency Trading
2nd Modern Finance Conference (MFC 2025), Warsaw, Poland, September 2025
Transmission Dynamics in Crypto Markets: Comparing Volatility and Liquidity Spillover Networks
Future Finance Fest (3F) Conference, Vilnius, Lithuania, August 2025
Transmission Dynamics in Crypto Markets: Comparing Volatility and Liquidity Spillover Networks
ISAFE 2025 – Third Annual Meeting of the International Society for the Advancement of Financial Economics, Beijing, China, June 2025
Transmission Dynamics in Crypto Markets: Comparing Volatility and Liquidity Spillover Networks
4th CINSC/INFINITI 2025 Conference on International Sustainable and Climate Finance and International Financial Integration, Edinburgh, United Kingdom, June 2025