The purpose of our study is to examine the dynamics of various liquidity proxies around specific price formation within intraday data. We examine the behavior of the measures representing price impact, depth of the market, its width and elasticity around intraday zero-return observations. Our sample is based upon quotations of blue chip stocks listed on the Warsaw Stock Exchange, one of the European emerging markets. This paper identifies an incoherent behavior of liquidity measures from different dimensions around intraday zero-returns. Although the transaction costs are lower and zero return configurations seem to offer better liquidity, this potential is not exploited as the trading activity measures decrease. The stock market is characterized by high resiliency as the observed changes in liquidity measures are short-term.

中文翻译：

---

流动性被浪费了吗？华沙证券交易所的零回报

我们研究的目的是检查日内数据中围绕特定价格形成的各种流动性代理的动态。我们围绕日内零回报观察研究了代表价格影响、市场深度、宽度和弹性的指标的行为。我们的样本基于在华沙证券交易所（欧洲新兴市场之一）上市的蓝筹股的报价。本文围绕日内零回报从不同维度确定了流动性衡量指标的不连贯行为。尽管交易成本较低且零回报配置似乎提供了更好的流动性，但随着交易活动指标的减少，这种潜力并未得到利用。由于观察到的流动性指标变化是短期的，因此股票市场的特点是具有高弹性。