scholarly journals Analysis of the Impact of Trading Liquidity on the Development of Investment Time Horizon on the Example of the Warsaw Stock Exchange

2017 ◽  
Vol 4 (324) ◽  
Author(s):  
Agata Gniadkowska-Szymańska
Keyword(s):  
Stock Exchange ◽  
Investment Horizon ◽  
Stock Liquidity ◽  
Holding Period ◽  
Time Period ◽  
Common Stocks ◽  
Warsaw Stock Exchange ◽  
Long Time ◽  
The Cost ◽  
The Impact

The importance of liquidity has been acknowledged for a long time now. Liquidity is defined as the ease with which an asset can be converted into cash. A considerable number of studies investigated stock liquidity providing evidence that more illiquid stocks yield higher returns which include an illiquidity premium. According to Amihuda and Mendelson (1986b: 43–48), a required rate of return on the shares (gross, i.e. after taking into account the cost of liquidity) should increase with increasing liquidity, but the marginal increase should decrease with an increasing investment horizon, thus decreasing the likelihood of premature termination of the investment. As a result, investors with different investment horizons may require different rates of return per unit of time from the same shares (Huang 2003: 104–129). Investor horizon is the time period for which an investor holds a stock. Most of the research conducted on investment horizon links it to liquidity, supporting the thesis that it is negatively related to liquidity. “Transaction costs and the holding periods for common stocks” written by Atkins and Dyl (1997: 309–325) is one of the first papers to investigate the effects of liquidity on holding period. The aim of this study is to show the dependencies occurring between the phenomena of investment horizon and asymmetric information and the liquidity of shares of a company.

scholarly journals The impact of trading liquidity on the rate of return on emerging markets: the example of Poland and the Baltic countries

e-Finanse ◽  
2017 ◽  
Vol 13 (4) ◽  
pp. 136-148
Author(s):  
Agata Gniadkowska-Szymańska
Keyword(s):  
Stock Return ◽  
Stock Exchange ◽  
Futures Contracts ◽  
Stock Exchanges ◽  
Stock Liquidity ◽  
Baltic Countries ◽  
Warsaw Stock Exchange ◽  
Long Time ◽  
The Baltic ◽  
The Impact

AbstractEach type of investment has its own liquidity, i.e. the speed with which it can be converted into money. This can be seen with respect to various instruments (such as stocks or futures contracts), market segments, or even entire exchanges. The importance of liquidity has been acknowledged for a long time. A considerable number of studies have investigated stock liquidity, providing evidence that more illiquid stocks have higher returns, which may be deemed an ‚illiquidity premium’. In this paper I present various factors which have an effect on liquidity by presenting the results of research concerning relations between liquidity and stock return on the Warsaw Stock Exchange (WSE) and Nasdaq stock exchanges in Tallinn, Riga and Vilnius.

scholarly journals The Impact of Trade Liquidity on the Rates of Return from Emerging Market Shares Based on the Example of Poland, Austria and Hungary

2019 ◽  
Vol 4 (343) ◽  
pp. 137-157
Author(s):  
Agata Gniadkowska - Szymańska
Keyword(s):  
Stock Returns ◽  
Stock Exchange ◽  
Emerging Market ◽  
Futures Contracts ◽  
Stock Liquidity ◽  
Market Shares ◽  
Warsaw Stock Exchange ◽  
Long Time ◽  
Alternative Test ◽  
The Impact

In relation to assets, liquidity generally relates to the ease by which an asset can be sold immediately after purchase without incurring losses of any kind. These losses could be due to price changes or various transaction costs. This can be seen with respect to various instruments (such as stocks or futures contracts), market segments, or even entire exchanges. The importance of liquidity has been acknowledged a long time ago. A considerable number of studies have investigated stock liquidity, providing evidence that more illiquid stocks have higher returns, which may be deemed an “illiquidity premium”. This paper examines various factors which have an effect on liquidity by presenting the results of research concerning relations between liquidity and stock returns on the Warsaw Stock Exchange (WSE), the Budapest Stock Exchange (BSE) and the Vienna Stock Exchange (VSE). The main objective of the study is to determine whether there is a statistically significant relationship between the trading liquidity of the shares and the evolution of the rate of return on these shares. The applied research methodology is similar to that described by Datar, Naik and Radcliffe in their work “Liquidity and Stock Returns: An Alternative Test”.

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.

Differences of Opinion and Price Reversals: Evidence from the Taiwan Stock Exchange

2015 ◽  
Vol 18 (03) ◽  
pp. 1550015 ◽  
Author(s):  
Chu-Chun Cheng ◽  
Yen-Sheng Huang
Keyword(s):  
Stock Returns ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Taiwan Stock Exchange ◽  
Holding Period ◽  
Cumulative Abnormal Returns ◽  
Common Stocks ◽  
Differences Of Opinion ◽  
One Year ◽  
The Impact

This paper examines the impact of differences of opinion (DIFOPN) on long-term price reversals using all of the common stocks listed on the Taiwan Stock Exchange over the period of 1990–2008. We choose winners and losers ranked by their cumulative abnormal returns (CARs) over the three-year formation period. The performance of the winners and losers is evaluated over the subsequent one-year holding periods. The empirical results indicate that DIFOPN are generally positively related to price reversals in the holding period for both winners and losers. When DIFOPN are measured by the financial analysts' forecasts of earnings per share and by the standard deviation of stock returns, the association between DIFOPN and price reversals is significantly different from zero. This relationship is robust when such control variables as market-to-book ratios, size, and beta are included.

Conditional stock liquidity premium: is Warsaw stock exchange different?

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Szymon Stereńczak
Keyword(s):  
Emerging Markets ◽  
Stock Returns ◽  
Stock Exchange ◽  
Emerging Market ◽  
Market Liquidity ◽  
Investment Horizon ◽  
Liquidity Premium ◽  
Stock Liquidity ◽  
Content Type ◽  
Bear Market

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.

scholarly journals Comparison of the spatial patterns of schistosomiasis in Zimbabwe at two points in time, spaced twenty-nine years apart: is climate variability of importance?

2017 ◽  
Vol 12 (1) ◽  
Author(s):  
Ulrik B. Pedersen ◽  
Dimitrios-Alexios Karagiannis-Voules ◽  
Nicholas Midzi ◽  
Tkafira Mduluza ◽  
Samson Mukaratirwa ◽  
...  
Keyword(s):  
Climate Change ◽  
Geographical Distribution ◽  
Predictive Accuracy ◽  
Weather Data ◽  
Geostatistical Model ◽  
Prevalence Data ◽  
Time Period ◽  
Long Time ◽  
Potential Risk Factors ◽  
The Impact

Temperature, precipitation and humidity are known to be important factors for the development of schistosome parasites as well as their intermediate snail hosts. Climate therefore plays an important role in determining the geographical distribution of schistosomiasis and it is expected that climate change will alter distribution and transmission patterns. Reliable predictions of distribution changes and likely transmission scenarios are key to efficient schistosomiasis intervention-planning. However, it is often difficult to assess the direction and magnitude of the impact on schistosomiasis induced by climate change, as well as the temporal transferability and predictive accuracy of the models, as prevalence data is often only available from one point in time. We evaluated potential climate-induced changes on the geographical distribution of schistosomiasis in Zimbabwe using prevalence data from two points in time, 29 years apart; to our knowledge, this is the first study investigating this over such a long time period. We applied historical weather data and matched prevalence data of two schistosome species (<em>Schistosoma haematobium</em> and <em>S. mansoni</em>). For each time period studied, a Bayesian geostatistical model was fitted to a range of climatic, environmental and other potential risk factors to identify significant predictors that could help us to obtain spatially explicit schistosomiasis risk estimates for Zimbabwe. The observed general downward trend in schistosomiasis prevalence for Zimbabwe from 1981 and the period preceding a survey and control campaign in 2010 parallels a shift towards a drier and warmer climate. However, a statistically significant relationship between climate change and the change in prevalence could not be established.

scholarly journals The Impact of CEOs' Compensations on Cost Stickiness in Industrial Companies Listed on the Amman Stock Exchange

2021 ◽  
Vol 15 (1) ◽  
pp. 152
Author(s):  
Lina Fuad Hussien
Keyword(s):  
Stock Exchange ◽  
Industrial Companies ◽  
Level Of Activity ◽  
Cost Behavior ◽  
Study Population ◽  
The Difference ◽  
High Level ◽  
The Cost ◽  
The Impact ◽  
Cost Stickiness

The purpose of this study is to analyze the asymmetry in cost behavior (cost stickiness) and to identify the impact of CEOs&#39; compensation on the degree of cost stickiness behavior. The study population consists of the public shareholding companies listed on the ASE, which number (56) industrial company. Data were collected from (35) industrial companies for the period (2009 - 2019). To measure the degree of costs stickiness, The Model of Weiss (2010) was used. The Model of Weiss (2010) takes into account the costs and changes in the level of activity (sales) for the last four quarters of the company, Weiss (2010) model constructs the difference in logarithmic ratios of changes in cost. The study found that the CEO&#39;s compensation in Jordanian industrial companies consists of two forms. The companies pay fixed salaries or performance-related bonuses. The study found that the form of compensation that is paid to the CEO affects the behavior of managers. The results indicated that the performance-related rewards are accompanied by a decrease in the level of cost stickiness, and the compensation paid in the form of fixed salaries are accompanied by a high level of cost stickiness. The study recommends that companies should understand the role of the compensation form in administrative decisions, especially with regard to resource modifications, as management motives in relation to resource modifications must be taken into account because of their clear and direct impact on the cost structure of companies.

scholarly journals The impact of Working Capital Management on shareholders’ wealth and profitability: evidence from Colombo Stock Exchange

2018 ◽  
Vol 15 (2) ◽  
pp. 104-115
Author(s):  
Wasantha Perera ◽  
Pradeep Priyashantha
Keyword(s):  
Firm Size ◽  
Regression Models ◽  
Stock Exchange ◽  
Negative Relationship ◽  
Least Square ◽  
Capital Management ◽  
Working Capital ◽  
Working Capital Management ◽  
Holding Period ◽  
The Impact

The Working Capital Management (WCM) has an important role for the firm’s success or failure, because it directly affects the overall business health of the firm. This study examined the impact of WCM on profitability and shareholders’ wealth using 50 companies listed in different sectors on the Colombo Stock Exchange (CSE) for the period from 2010 to 2015. This sample represents 47% of the selected sectors of CSE. The profitability of the company is measured using gross operating profit (GOP) and shareholders wealth measured by Tobin’s Q (TQ) ratio. The WCM is measured using five independent variables namely stock holding period (SHP), debtors’ collection period (DCP), creditors’ settlement period (CSP), cash conversion circle (CCC) and current assets ratio (CAR). Further, three additional variables such as firm size (SIZE), leverage (LEV) and earning yield (EY) are employed as controlling variables to capture the impact of other performance of the companies.The data were analyzed using ordinary least square (OLS) and panel data regression models. These regression models reveal that there is a significant negative relationship between CCC and dependent variables (GOP &amp;amp; TQ). Further, this relationship has been confirmed by the major components of CCC such as SHP, DCP. Firm size also positively and significantly effects on the firm GOP while negatively effects on the TQ. Further, they revealed that there is a significant positive relationship between LEV and TQ. The study finds that the shareholders’ wealth and profitability can be increased through the efficiency of WCM.

scholarly journals The Impact of Acquisition on Stock Value in Case of Warsaw Stock Exchange

2019 ◽  
Vol 16 (1) ◽  
pp. 70-79
Author(s):  
Wojciech Kaczmarczyk
Keyword(s):  
Stock Prices ◽  
Information Transfer ◽  
Banking Sector ◽  
Stock Exchange ◽  
Public Information ◽  
Electronic System ◽  
Market Reactions ◽  
Warsaw Stock Exchange ◽  
Market Indexes ◽  
The Impact

Abstract Research purpose: Seven of 10 companies that have won the Polish Forbes edition Merge & Acquisition 2018 Ranking are listed on Warsaw Stock Exchange. The aim of the conducted research was to test if the biggest acquisitions have an impact on stocks value and is it possible for typical investor to create extra profit by using knowledge of acquisition based on public information. Design/Methodology/Approach: Using data from Warsaw Stock Exchange (quotations), typical measures such as rate of return, standard deviation (risk), correlation and transaction volume changes were calculated. Each of the case results obtained for the company was compared with the result for stock market indexes: WIG (Warszawski Indeks Giełdowy – main WSE index), WIG20 (WSE sub-index of the 20 largest companies), mWIG40 (WSE sub-index of 40 medium companies) and sWIG80 (WSE sub-index of 80 small companies). In addition, the outcomes were confronted with public news (from WSE Electronic System for Information Transfer). Findings: Conducted research has shown that generally successful finalisation of acquisition results in changes of stock prices behaviour. Unfortunately, observed reactions were not the same. Acquisitions induced both increases and decreases in stock prices; there was also no rule in case of risk change. Generally, acquisitions and merges had rather good influence in banking sector (which is still concentrating), but there was no common reaction in other sectors. Originality/Value/Practical Implications: The results will be useful for investors acting on Warsaw Stock Exchange, especially for individual investor who are not able to carry out detailed analyses. The research provides results including possible pre-effects and after-effects of making big acquisition by a large company. The negative market reactions were also shown.

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