This paper aims to compare the mutual information shared by various liquidity and volatility estimators within each group separately. Our sample covers forty one blue-chip companies from the Warsaw Stock Exchange. In terms of their information content, volatility measures are much more coherent, while liquidity ones are more dispersed. The Garman–Klass volatility estimator seems to be the broadest measure of volatility, while Amihud illiquidity and Volatility over volume share the highest amount of mutual information among liquidity proxies. The latter proxy shares approximately the same amount of information with both volatility estimates and liquidity proxies. The possibility to forecast volatility or liquidity, measured by the transfer entropy, with the help of the other volatility or liquidity proxies is limited.

本文旨在比较每个组中各个流动性和波动性估计者共享的相互信息。我们的样本涵盖了华沙证券交易所的41家蓝筹公司。就其信息内容而言，波动率指标更加连贯，而流动性指标则更为分散。Garman-Klass波动率估计量似乎是最广泛的波动率度量，而Amihud流动性不足和流通量波动率在流动性代理中共享的信息量最高。后者代理与波动率估计和流动性代理共享大约相同数量的信息。在其他波动率或流动性代理的帮助下，通过转移熵衡量的预测波动率或流动性的可能性是有限的。