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Institute of Public Finance

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Stock Market Liquidity: Comparative Analysis of Croatian and Regional Markets

Vladimir Benić, Privredna banka Zagreb, Zagreb, Croatia
Ivna Franić, VIPnet usluge, Zagreb, Croatia

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

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 December, 2008
IV / 2008
EBSCO Publishing
ISSN 1846-887X
e-ISSN 1845-9757
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