Purpose

This paper aims to empirically indicate the factors influencing stock liquidity premium (i.e. the relationship between liquidity and stock returns) in one of the leading European emerging markets, namely, the Polish one.

Design/methodology/approach

Various firms’ characteristics and market states are analysed as potentially affecting liquidity premiums in the Polish stock market. Stock returns are regressed on liquidity measures and panel models are used. Liquidity premium has been estimated in various subsamples.

Findings

The findings vividly contradict the common sense that liquidity premium raises during the periods of stress. Liquidity premium does not increase during bear markets, as investors lengthen the investment horizon when market liquidity decreases. Liquidity premium varies with the firm’s size, book-to-market value and stock risk, but these patterns seem to vanish during a bear market.

Originality/value

This is one of the first empirical papers considering conditional stock liquidity premium in an emerging market. Using a unique methodological design it is presented that liquidity premium in emerging markets behaves differently than in developed markets.

中文翻译：

---

有条件的股票流动性溢价：华沙证券交易所是否与众不同？

目的

本文旨在从经验上指出影响欧洲领先的新兴市场之一的波兰股票流动性溢价的因素（即流动性与股票收益之间的关系）。

设计/方法/方法

分析了各种公司的特征和市场状况，它们可能会影响波兰股票市场中的流动性溢价。使用流动性度量对股票收益进行回归，并使用面板模型。已在各种子样本中估计了流动性溢价。

发现

这些发现与在压力时期流动性溢价增加的常识是矛盾的。在熊市期间，流动性溢价不会增加，因为当市场流动性下降时，投资者会延长投资期限。流动性溢价随公司规模，账面市值和股票风险而变化，但在熊市期间这些模式似乎消失了。

创意/价值

这是考虑新兴市场中有条件股票流动性溢价的第一批经验论文之一。使用独特的方法设计，可以证明新兴市场的流动性溢价与发达市场的表现不同。