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Measurement of stock market liquidity supported by an algorithm inferring the initiator of a trade

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OLBRYŚ J., MURSZTYN M.
Operations Research and Decisions
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2017
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vol. 27
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issue 4
111-127
EN
The aim of this study is to assess and analyse selected liquidity/illiquidity measures derived from high-frequency intraday data from the Warsaw Stock Exchange (WSE). As the side initiating a trade cannot be directly identified from a raw data set, firstly the Lee–Ready algorithm for inferring the initiator of a trade is employed to distinguish between so-called buyer- and seller-initiated trades. Intraday data for fifty-three WSE-listed companies divided into three size groups cover the period from January 3, 2005 to June 30, 2015. The paper provides an analysis of the robustness of the obtained results with respect to the whole sample and three consecutive subsamples, each of equal size: covering the precrisis, crisis, and post-crisis periods. The empirical results turn out to be robust to the choice of the period. Furthermore, hypotheses concerning the statistical significance of coefficients of correlation between the daily values of three liquidity proxies used in the study are tested.
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