Liquidity Proxies Based on Intraday Data: The Case of the Polish Order-Driven Stock Market

Abstract

The objective of this paper is to estimate selected liquidity measures based on high-frequency intraday data and to examine their magnitude on the Warsaw Stock Exchange (WSE). We construct and analyze a panel of data which consists of daily proxies of five liquidity estimates for 53 WSE-traded companies divided into three size groups. Although the WSE is classified as an order-driven market with an electronic order book, the raw data set does not identify trade direction. Therefore, the trade classification Lee and Ready (J Finance 46(2):733–746, 1991) algorithm is employed to infer trade sides and to distinguish between so-called buyer- and seller-initiated trades. Moreover, the paper provides a robustness analysis of the obtained results with respect to the whole sample and three adjacent subsamples each of equal size: the precrisis, global financial crisis (GFC), and postcrisis periods. The constructed panel of data would be utilized in further investigation concerning commonality in liquidity on the Polish stock market.