Open Access

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


Cite

Acharya, V., Pedersen, L. (2005). Asset Pricing with Liquidity Risk. Journal of Financial Economics, 77(2), 375-410.10.1016/j.jfineco.2004.06.007Search in Google Scholar

Amihud, Y. (2002). Illiquidity and Stock Returns: Cross-section and Time-series effects. Journal of Financial Markets, No. 5.10.1016/S1386-4181(01)00024-6Search in Google Scholar

Amihud, Y., Mendelson, H. (1986a). Asset Pricing and a Bid-Ask Spread. Journal of Financial Economics, vol. 17.10.1016/0304-405X(86)90065-6Search in Google Scholar

Amihud, Y., Mendelson, H. (1986b). Liquidity and Stock Returns. Financial Analysts Journal, vol. 42, No. 3.10.2469/faj.v42.n3.43Search in Google Scholar

Amihud, Y., Mendelson, H. (1989). The Effects of Beta, Bid-ask Spread, Residual, Risk and Size on Stock Returns. Journal of Finance, No. 44.10.1111/j.1540-6261.1989.tb05067.xSearch in Google Scholar

Bekaert, G., Harvey, C., Lundblad, C. (2007). Liquidity and Expected Returns: Lessons from Emerging Markets. Review of Financial Studies, 20(6), 1783-1831.10.1093/rfs/hhm030Search in Google Scholar

Bertsimas, D., Lo, A. (1998). Optimal Control of Execution Costs. Journal of Financial Markets, vol. 1, issue 1, 1-50.Search in Google Scholar

Brennan, M.J., Subrahmanyam, A. (1996). Market Microstructure and Asset Pricing: On the Compensation for Illiquidity in Stock Returns. Journal of Financial Economics 41, 441-464.10.1016/0304-405X(95)00870-KSearch in Google Scholar

Brogaard, J., Li, D., Xia, Y. (2017). Stock Liquidity and Default Risk. Journal of Financial Economics, 124(3), 486-502.10.1016/j.jfineco.2017.03.003Search in Google Scholar

Brzeszczyński, J., Gajdka, J., Schabek, T. (2011). The Role of Stock Size and Trading Intensity in the Magnitude of the “Interval Effect” in Beta Estimation. Empirical Evidence From the Polish Capital Market. Emerging Markets Finance and Trade, 47(1), 28-49.10.2753/REE1540-496X470102Search in Google Scholar

Chan, H., Faff, R. (2005). Asset Pricing and Illiquidity Premium. The Financial Review, vol. 40, 429-458.10.1111/j.1540-6288.2005.00118.xSearch in Google Scholar

Chang, X., Chen, Y., Zolotoy, L. (2017). Stock Liquidity and Stock Price Crash Risk. Journal of Financial and Quantitative Analysis, 52(4), 1605-1637.10.1017/S0022109017000473Search in Google Scholar

Chang, Y.Y., Faff, R., Hwang, C.-Y. (2010). Liquidity and Stock Returns in Japan: New Evidence. Pacific-Basin Finance Journal, No. 18(1).10.1016/j.pacfin.2009.09.001Search in Google Scholar

Cheng, L., Fung, H., Leung, T. (2007). Information effects of dividends: evidence from the Hong Kong market. Review of Quantitative Finance and Accounting, No. 26(1).Search in Google Scholar

Chordia, T., Roll, R., Subrahmanyam, A. (2000). Commonality and Liquidity. Journal of Financial Economics, vol. 56, Issue 1., 3-28.10.1016/S0304-405X(99)00057-4Search in Google Scholar

Dater, V., Naik, N., Radcliffe, R. (1998). Liquidity and Stock Returns: An Alternative Test. Journal of Financial Markets, vol. 1.10.1016/S1386-4181(97)00004-9Search in Google Scholar

Dimson, E. (1979). Risk Measurement When Shares are Subject to Infrequent Trading. Journal of Financial Economics, Elsevier, 7(2), 197-226.10.1016/0304-405X(79)90013-8Search in Google Scholar

Fama, E.F., French, K.R. (1993). Common Risk Factors in the Returns on Stocks and Bonds. Journal of Financial Economics 33, 3-56.10.1016/0304-405X(93)90023-5Search in Google Scholar

Fama, E.F., French, K.R. (1996). Multifactor Explanations of Asset Pricing Anomalies. Journal of Finance, 51(1), 55–84.10.1111/j.1540-6261.1996.tb05202.xSearch in Google Scholar

Fama, E.F., French, K.R. (2001). Disappearing Dividends: Changing Firm Characteristics or Lower Propensity to Pay?. Journal of Financial Economics, No. 60.10.1016/S0304-405X(01)00038-1Search in Google Scholar

Fama, E.F., MacBeth, J.D. (1973). Risk, Return, and Equilibrium: Empirical Tests. Journal of Political Economy 81, 607-636.10.1086/260061Search in Google Scholar

Gajdka, J., Gniadkowska, A., Schabek, T. (2010). Płynność obrotu a stopa zwrotu z akcji na Giełdzie Papierów Wartościowych w Warszawie. Uniwersytet Ekonomiczny w Poznaniu, Zeszyty Naukowe nr 142.Search in Google Scholar

Goyenko, R.Y., Holden, C.W., Trzcinka, C.A. (2009). BDo Liquidity Measures Measure Liquidity?. Journal of Financial Economics, 92(2), 153-181.10.1016/j.jfineco.2008.06.002Search in Google Scholar

Hasbrouck, J. (2006). Trading Costs and Returns for US Equities: Estimating Effective Costs from Daily Data. Working Paper, Stern School of Business, New York University.Search in Google Scholar

Holden, C.W., Jacobsen, S., Subrahmanyam, A. (2014). The Empirical Analysis of Liquidity. Foundations and Trends® in Finance, 8(4), 263-365.10.1561/0500000044Search in Google Scholar

Hu, M., Jain, A., Zheng, X. (2018). Stock Splits and Liquidity Risk in the Chinese Stock Market.10.2139/ssrn.3100600Search in Google Scholar

Korajczyk, R., Sadka, R. (2008). Pricing the Commonality Across Alternative Measures of Liquidity. Journal of Financial Economics, 87(1), 45-72.10.1016/j.jfineco.2006.12.003Search in Google Scholar

Lakonishok, J., Shapiro, A.C. (1986). Systematic Risk, Total Risk and Size as Determinants of Stock Market Returns. Journal of Banking & Finance, Volume 10, Issue 1, 115–132.10.1016/0378-4266(86)90023-3Search in Google Scholar

Lakonishok, J., Shleifer, A., Vishny, R. (1994). Contrarian Investment, Extrapolation, and Risk. The Journal of Finance, 49(5), 1541–1578.10.1111/j.1540-6261.1994.tb04772.xSearch in Google Scholar

Lesmond, D. A (2005). Liquidity of Emerging Markets. Journal of Financial Economics, No. 77(2),. 411-452.10.1016/j.jfineco.2004.01.005Search in Google Scholar

Lesmond, D.A., Ogden, J.P., Trzcinka, C.A. (1999). A New Estimate of Transaction Costs. Review of Financial Studies, 12(5), 1113-1141.10.1093/rfs/12.5.1113Search in Google Scholar

Lischewski, J., Voronkova, S. (2012). Size, Value, and Liquidity. Do They Really Matter on an Emerging Stock Market?. Emerging Markets Review, 13(1), 8-25.Search in Google Scholar

Ma, R., Anderson, H.D., Marshall, B.R. (2018). Stock Market Liquidity and Trading Activity: Is China Different?. International Review of Financial Analysis.10.1016/j.irfa.2017.12.010Search in Google Scholar

Olbryś, J. (2013). Zastosowanie wybranych miar płynności aktywów kapitałowych na Giełdzie Papierów Wartościowych w Warszawie S.A., Zarządzenie i Finanse, Vol. 11, No. 3, Part 2, 65-77.Search in Google Scholar

Pastor, L., Stambaugh, R.F., (2003). Liquidity Risk and Expected Stock Returns. Journal of Political Economy, 111(3), 642-685.10.1086/374184Search in Google Scholar

Sadka, R. (2006). Momentum and Post-earnings Announcement Drift Anomalies: The Role of Liquidity Risk. Journal of Financial Economics 80, 309-349.10.1016/j.jfineco.2005.04.005Search in Google Scholar

Shanken, J. (1992). On the Estimation of Beta-pricing Models. Review of Financial Studies 5, 1-3.10.1093/rfs/5.1.1Search in Google Scholar

Shannon, P., Reilly, R., Schweihs, R.(2000). Valuing a Business: The Analysis and Appraisal of Closely Held Companies. McGraw-Hill Library of Investment and Finance, 4th Edition (Hardcover).Search in Google Scholar

Sharpe, W. (1964). Capital Asset Prices: A Theory of Market Equilibrum under Condition of risk. Journal of Finance, nr 19.Search in Google Scholar

White, H. (1980). A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity. Econometrica, 48(4), 817-838.10.2307/1912934Search in Google Scholar

http://www.nasdaqbaltic.com/ [as of 07.03.2016].Search in Google Scholar

www.money.pl, [as of 07.03.2016]Search in Google Scholar

http://www.gpw.pl, [as of 07.03.2016].Search in Google Scholar