Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/239414 
Year of Publication: 
2020
Citation: 
[Journal:] Journal of Risk and Financial Management [ISSN:] 1911-8074 [Volume:] 13 [Issue:] 12 [Publisher:] MDPI [Place:] Basel [Year:] 2020 [Pages:] 1-13
Publisher: 
MDPI, Basel
Abstract: 
The studies concerning commonality in liquidity on emerging markets in Central and Eastern Europe are scarce and, in particular, they do not utilize the Principal Component Analysis (PCA) to identify latent factors in liquidity. Therefore, the main aim of this research is to assess commonality in liquidity on the Warsaw Stock Exchange (WSE) with the use of the PCA to extract common components of liquidity across a sample of stocks, and from a set of several liquidity proxies. The robustness tests within the whole sample and sub-periods are provided. The PCA results reveal that common latent factors in liquidity estimates exist on the Polish stock market, and three principal components are sufficient to substitute for the seven liquidity proxies utilized in this research. The regressions using these three principal components of liquidity proxies as latent factors in the market model of liquidity indicate no evidence of co-movements in liquidity on the WSE. The results are homogenous for all investigated periods so no reason has been found to reject the research hypothesis that commonality in liquidity does not exist on the Polish stock market. To the best of the authors' knowledge, no similar research has been conducted for the WSE thus far.
Subjects: 
market microstructure
high-frequency data
daily data
commonality in liquidity
PCA
GARCH
Warsaw Stock Exchange
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

Files in This Item:
File
Size
306.89 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.