Abstract
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.
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Acknowledgements
This work was supported by the National Science Centre in Poland under the Grant No. UMO-2017/25/B/HS4/01546. I would like to thank participants of the Forecasting Financial Markets Conference (5-7 September 2018, Oxford UK), and the Vietnam Symposium in Banking and Finance (25-27 October 2018, Hue City, Vietnam), for insightful and beneficial comments. I am especially grateful to the Editors and three anonymous Reviewers for constructive suggestions on previous drafts of the paper. All remaining errors are mine.
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Będowska-Sójka, B. Is liquidity wasted? The zero-returns on the Warsaw Stock Exchange. Ann Oper Res 297, 37–51 (2021). https://doi.org/10.1007/s10479-020-03849-5
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DOI: https://doi.org/10.1007/s10479-020-03849-5