Liquidity of the Croatian stock market: an empirical analysis

Minović, Jelena (2012) Liquidity of the Croatian stock market: an empirical analysis. Ekonomska istraživanja, 25 (3). pp. 776-802. ISSN 1331-677X

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In this paper we analysed liquidity of the Croatian stock market. Low level of liquidity is one of the key problem areas facing this small market. As the measures of liquidity we used the Zero Rates return by Lesmond et al. (1999), Price Pressure of non-trading as in Bekaert et al. (2007), and Turnover. For calculating the Zero Rates return, and Price Pressure measures we used prices of all stocks listed at the the Zagreb Stock Exchange in the period: 2005 - 2009. Results showed that the level of liquidity for the Croatian market is very low. For this market the least illiquid year was 2007 (the pre-crises year), and most illiquid year for Croatia was 2009. We showed that illiquidity is persistent in this market. The Örst measures of correlation between all illiquidity measure are given. Particularly, we demonstrated that the Croatian market is less illiquid than the Serbian market.

Item Type: Article
Additional Information: COBISS.ID=512178530
Uncontrolled Keywords: Croatian frontier market, (Il)liquidity, zero rates return, price pressure (PP), turnover (TO)
Research Department: Macroeconomics
Depositing User: Jelena Banovic
Date Deposited: 10 Sep 2016 08:36
Last Modified: 18 May 2020 18:36

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