Research Output
Liquidity Measures and Cost of Trading in an Illiquid Market
  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.

  • Date:

    31 August 2014

  • Publication Status:

    Published

  • Publisher

    SAGE Publications

  • DOI:

    10.1177/0972652714541340

  • ISSN:

    0972-6527

  • Funders:

    Historic Funder (pre-Worktribe)

Citation

Armitage, S., Brzeszczyński, J., & Serdyuk, A. (2014). Liquidity Measures and Cost of Trading in an Illiquid Market. Journal of Emerging Market Finance, 13(2), 155-196. https://doi.org/10.1177/0972652714541340

Authors

Keywords

Liquidity cost of trading, emerging stock market, market microstructure, Ukraine

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