Liquidity measures and cost of trading in an illiquid market

Seth Armitage, Janusz Brzeszczynski, Anna Serdyuk

Research output: Contribution to journalArticlepeer-review

Abstract

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 condition
Original languageEnglish
Pages (from-to)155-96
Number of pages42
JournalJournal of Emerging Market Finance
Volume13
Issue number2
DOIs
Publication statusPublished - Aug 2014

Keywords

  • Liquidity
  • cost of trading
  • emerging stock market
  • Market microstructure
  • Ukraine

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