Stock Market Liquidity: Comparative Analysis of Croatian and Regional Markets
Vladimir Benić, Privredna banka Zagreb, Zagreb, Croatia
Ivna Franić, VIPnet usluge, Zagreb, Croatia
Abstract
On the Croatian stock market liquidity has never been in the focus of academic research, thus we find it necessary to observe liquidity at the aggregate level. This paper observes multi-dimensional liquidity through the impact of turnover on price change together with several one-dimensional measures. In our empirical research we applythe illiquidity measureto seven different stock markets. We focus on the Croatian stock market as compared to other markets in the Central and Eastern Europe and German market. The results of the research indicate a substantial level of illiquidity in the Croatian and other developing markets.
Keywords: liquidity, stock market, Croatia, developing stock markets, Amihud's illiquidity ratio, liquidity measures
Year: 2008 | Volume: 32 | Issue: 4 | Pages: 477 - 498
Full text (PDF) | E-mail this article | Download to citation manager | | December, 2008
IV / 2008 |
