Stock Market Liquidity and Company Decisions to Pay Dividends: Evidence from the Warsaw Stock Exchange

2018 ◽  
pp. 27-42 ◽  
Author(s):  
Szymon Stereńczak
Keyword(s):  
Stock Market ◽  
Stock Exchange ◽  
Market Liquidity ◽  
Warsaw Stock Exchange ◽  
Stock Market Liquidity

scholarly journals State-Dependent Stock Liquidity Premium: The Case of the Warsaw Stock Exchange

2020 ◽  
Vol 8 (1) ◽  
pp. 13
Author(s):  
Szymon Stereńczak
Keyword(s):  
Stock Market ◽  
Emerging Markets ◽  
Stock Returns ◽  
Stock Exchange ◽  
Market Liquidity ◽  
Liquidity Premium ◽  
Stock Liquidity ◽  
Holding Period ◽  
State Dependent ◽  
Warsaw Stock Exchange

The effect of stock liquidity on stock returns is well documented in the developed capital markets, while similar studies on emerging markets are still scarce and their results ambiguous. This paper aims to analyze the state-dependent variance of liquidity premium in the Polish stock market. The Polish capital market may serve as a benchmark for other emerging markets in the region of Central and Eastern Europe, hence the results of this research should be of great interest for investors and policy makers in Poland and other post-communist European countries. In the empirical, study a unique empirical methodology has been applied, which guarantees the uniqueness of the results obtained. The results obtained suggest that on the Polish stock market exists stock liquidity premium, which is statistically significant, but constitutes only a small fraction of returns. It also does not increase during periods of bearish market, what results from the lengthening of average holding period when market liquidity decreases.

The Impact of Investor Sentiment on Stock Market Liquidity: The Mediating Role of Investor Herding Behavior “An Empirical Study on the Egyptian Stock Exchange”

2021 ◽  
pp. 31-60
Author(s):  
A. H. El-Gayar ◽  
◽  
I. A. El-Hayes ◽  
S. Metawa ◽  
◽  
...  
Keyword(s):  
Stock Market ◽  
Empirical Study ◽  
Mutual Fund ◽  
Stock Exchange ◽  
Investor Sentiment ◽  
Theoretical Background ◽  
Market Liquidity ◽  
Indirect Impact ◽  
Stock Market Liquidity ◽  
The Impact

Behavioral finance is a recent approach in financial markets that have appeared because of the complexities long faced by the traditional or neoclassical finance theory. This paper investigates the influence of investor sentiment and herding behaviour on stock market liquidity using an empirical study on the Egyptian Stock Market. We examine the direct impact of Egyptian investor sentiment on the Egyptian Stock Market liquidity. As well as the indirect impact of the Egyptian investor sentiment on the Egyptian Stock Market liquidity through the Egyptian investor herding behaviour. Therefore, the major contribution is filling the gap of indirect sentiment-liquidity impact conflict. We use the monthly data of the EGX30 index from January 2004 up to December 2018 for building up investor sentiment index, investor herding behaviour, and stock market liquidity measures. Moreover, we are using two additional types of data (closed-end mutual fund discounts and the equity open-end mutual fund flows) that represent major measures which are used to build up investor sentiment index ranging through the same time-series of the previously mentioned period of this paper. Additionally, we use four control variables for stock market liquidity, namely market volatility, excess market return, term spread, and lag of the dependent variable, considering that the fourth variable is also used for investor herding behaviour. Our result shows that the investor sentiment index has both a direct and indirect impact on stock market liquidity. In addition, regarding event study analysis’ results, there are different signs of the direct and indirect impacts and different correlations between the research variables throughout the four different events that differ completely from the usual signs and correlations of the theoretical background.

scholarly journals The Moderating Role of Information Asymmetry in the Relationship between Stock Market Liquidity and Institutional Investors: A Case of Textile Sector in Pakistan Stock Exchange

2019 ◽  
Vol IV (I) ◽  
pp. 10-18
Author(s):  
Muhammad Arif
Keyword(s):  
Stock Market ◽  
Information Asymmetry ◽  
Institutional Investors ◽  
Stock Exchange ◽  
Market Liquidity ◽  
Significance Level ◽  
Stock Market Liquidity ◽  
Role Of Information ◽  
Textile Sector

The study focused on the moderation role of information asymmetry (IA) that plays a vital role between Stock market liquidity (SML) and Institutional investors (I.I) in textile sector of Pakistan stock exchange (PSX). Among total population of 155 companies, a sample of 150 textile companies is chosen with the help of convenient sampling technique for a period of 10 years (2009-2018). The results of Pre-moderation panel data regression analysis show that there is insignificant effect of I.I on SML while size (SZ), leverage (LEV) and growth (GR) have significant effect on SML. Further, post-moderation effect of IA, which is the uniqueness of the study, indicates a stronger significant effect of SZ, LEV and GR on SML as compare to pre-moderation regression results, which evident that IA do has a significant role between explanatory variables and SML. The results of the study are supporting the signaling theory on the base of moderation of IA that increases the significance level between I.I and SML.

scholarly journals Impact of Number of Security Analysts in Liquidity of Brazilian Stocks

2016 ◽  
Vol 9 (11) ◽  
pp. 105
Author(s):  
Liliam Sanchez Carrete ◽  
Vitor Corona ◽  
Rosana Tavares
Keyword(s):  
Stock Market ◽  
Cross Section ◽  
Positive Impact ◽  
Stock Exchange ◽  
Market Liquidity ◽  
Security Analysts ◽  
Securities Analysts ◽  
Independent Variable ◽  
Stock Market Liquidity ◽  
Stock Analysts

<p>This study investigates impacts of sell-side analysts in the liquidity of firm’s shares of Brazilian Capital Markets. Liquidity hypothesis studied by Brennan and Subrahmanyan (1995), Brennan and Tamarowski (2000), Amihud and Mendelson (1986, 2000) and Amihud <em>et al. (</em>1997) defines that an increase in the number of analysts covering a particular stock increases its liquidity causing a positive impact on the stocks prices. This work investigates empirically whether increasing number of securities analysts impacts stock market liquidity, as observed in the American market by Brennan and Tamarowski (2000), using a sample of 179 listed stocks in the Brazilian stock exchange, BM&amp;FBovespa. This work determines liquidity-measuring firm’s Lambda dollar derived by Kyle (1985) and then applying cross section regression of Lambda dollar as dependent variable and number of analysts as independent variable. Results indicate that stock market liquidity increased with number of securities stock analysts in favor of liquidity hypothesis.</p>

scholarly journals PENGARUH KEPEMILIKAN INSTITUSIONAL TERHADAP LIKUIDITAS PASAR SAHAM: STUDI PADA PERUSAHAAN-PERUSAHAAN MANUFAKTUR YANG TELAH GO PUBLIC DI BURSA EFEK INDONESIA

2021 ◽  
pp. 184-196
Author(s):  
Saut Purba ◽  
Donalson Silalahi
Keyword(s):  
Standard Deviation ◽  
Stock Market ◽  
Stock Prices ◽  
Stock Exchange ◽  
Institutional Ownership ◽  
Market Liquidity ◽  
Manufacturing Companies ◽  
Stock Trading ◽  
Stock Market Liquidity ◽  
The Impact

The purpose of this study is to obtain the empirical evidence about the impact of institutional ownership on stock market liquidity in manufacturing companies that have gone public on the Indonesia Stock Exchange. To achieve this goal, research was carried out on the Indonesia Stock Exchange using a research sample of 100 companies included in the manufacturing industry group. In explaining the effect of institutional ownership on stock market liquidity, 2 (two) models are used. The first model only uses institutional ownership as an independent variable, and the second model includes control variables, namely the standard deviation of price and volume of stock trading using the t test and the F test with α (alpha) of 10 percent. Based on the results of research and discussion, several conclusions can be drawn as follows: First, institutional ownership has a negative and significant effect on stock market liquidity and institutional ownership capacity in explaining stock market liquidity of 4.7 percent. Second, institutional ownership has a negative and significant effect on stock market liquidity, standard deviation of stock prices has a negative and significant effect on stock market liquidity, stock trading volume has a moderate and negative effect on stock market liquidity. The ability of these three variables in explaining stock market liquidity is 13.1 percent.Third, institutional ownership can increase stock market liquidity as indicated by the value of the direction coefficient and the level of significance of the variable of institutional ownership and the coefficient of direction and significance level of the standard deviation variable of stock prices.

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