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Impact of the Corporate Governance on the Financial Performance of Insurance Companies in the Slovak and Czech Republics Read chapter Read first chapter

2020 | OriginalPaper | Chapter

36. Market Tightness on the CEE Emerging Stock Exchanges in the Context of the Non-trading Problem

Author : Joanna Olbrys

Published in: Advances in Cross-Section Data Methods in Applied Economic Research

Publisher: Springer International Publishing

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Abstract

According to literature, the following three dimensions of market liquidity as special liquidity characteristics are usually distinguished: (1) market depth, (2) market tightness, and (3) market resiliency. The purpose of this study is to explore market tightness as one of dimensions of market liquidity on seven small Central and Eastern European (CEE) emerging stock markets in the Czech Republic, Hungary, Slovakia, Slovenia, Lithuania, Estonia, and Latvia, in the context of serious problems with stock illiquidity. The number of companies that reveal a substantial non-trading problem is large. In the study, daily percentage relative spread is employed as a proxy of market tightness on the investigated stock exchanges. The research sample covers the period from January 2, 2012 to December 30, 2016. Furthermore, to verify the stability of the obtained results, tests based on the time rolling-window approach are provided. In general, the average daily market tightness is quantitatively similar to the investigated markets, taken separately. However, the market tightness significantly differs among stocks and the results are not homogenous in sub-periods. Moreover, the influence of the non-trading effect on daily value of a stock tightness on the CEE stock exchanges is crucial.

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previous chapter Feedback of Macroeconomic Indicators to Shocks in Second-Tier Stock Market Development and Innovation Within Kaleckian Framework: Hong Kong Case Study
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Metadata
Title
Market Tightness on the CEE Emerging Stock Exchanges in the Context of the Non-trading Problem
Author
Joanna Olbrys
Copyright Year
2020
Book
Advances in Cross-Section Data Methods in Applied Economic Research

Print ISBN: 978-3-030-38252-0

Electronic ISBN: 978-3-030-38253-7

Copyright Year: 2020

DOI
https://doi.org/10.1007/978-3-030-38253-7_36

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