Projects funded by the NCN

Information on the principal investigator and host institution

Information of the project and the call

Keywords

Equipment

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The measurement of liquidity and the dynamics of the transaction process

2017/25/B/HS4/01546

Keywords:

liquidity coherence HLOC prices volatility

Descriptors:

  • HS4_6: Financial markets, international finance, public finance
  • HS4_3: Econometrics, statistical methods

Panel:

HS4 - Individuals, institutions, markets: economics, finance, management, demography, social and economic geography, urban studies

Host institution :

Uniwersytet Ekonomiczny w Poznaniu, Instytut Informatyki i Ekonomii Ilościowej

woj. wielkopolskie

Other projects carried out by the institution 

Principal investigator (from the host institution):

dr hab. Barbara Będowska-Sójka 

Number of co-investigators in the project: 4

Call: OPUS 13 - announced on 2017-03-15

Amount awarded: 156 200 PLN

Project start date (Y-m-d): 2018-02-07

Project end date (Y-m-d): 2021-10-06

Project duration:: 44 months (the same as in the proposal)

Project status: Project settled

Project description

Download the project description in a pdf file

Note - project descriptions were prepared by the authors of the applications themselves and placed in the system in an unchanged form.

Equipment purchased [PL]

  1. laptop (7 471 PLN)

Information in the final report

  • Publication in academic press/journals (12)
  • Articles in post-conference publications (4)
  1. Do aggressive orders affect liquidity? An evidence from an emerging market
    Authors:
    Będowska-Sójka Barbara
    Academic press:
    Research in International Business and Finance (rok: 2020, tom: 54, strony: 45305), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.ribaf.2020.101307 - link to the publication
  2. Is liquidity wasted? The zero returns on the Warsaw Stock Exchange
    Authors:
    Będowska-Sójka Barbara
    Academic press:
    Annals of Operations Research (rok: 2021, tom: 297, strony: 31-51), Wydawca: Springer
    Status:
    Published
    DOI:
    10.1007/s10479-020-03849-5 - link to the publication
  3. The dynamics of low-frequency liquidity measures: The developed versus the emerging market
    Authors:
    Barbara Będowska-Sójka
    Academic press:
    Journal of Financial Stability (rok: 2019, tom: 42, strony: 136-142), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.jfs.2019.05.006 - link to the publication
  4. Information content of liquidity and volatility measures
    Authors:
    Będowska-Sójka Barbara, Kliber Agata
    Academic press:
    Physica A-Statistical Mechanics and Its Applications (rok: 2021, tom: 563, strony: 45306), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.physa.2020.125436 - link to the publication
  5. Risk Transmission Between Sovereign Credit Default Swaps and Government Bonds During the Global Financial Crisis. The Case of the Czech Republic, Hungary and Poland
    Authors:
    Barbara Będowska-Sójka, Agata Kliber
    Academic press:
    Central European Journal of Economic Modeling and Econometrics (rok: 2019, tom: 11, strony: 156-172), Wydawca: Polish Academy of Sciencies - Lodz Branch
    Status:
    Published
    DOI:
    10.24425/cejeme.2019.130676 - link to the publication
  6. The asymmetry of the Amihud illiquidity measure on the European markets: The evidence from Extreme Value Theory
    Authors:
    Barbara Będowska-Sójka, Krzysztof Echaust, Małgorzata Just
    Academic press:
    Journal of International Financial Markets, Institutions and Money (rok: 2022, tom: 78, strony: 45307), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.intfin.2022.101563 - link to the publication
  7. What is the best proxy for liquidity in the presence of extreme illiquidity?
    Authors:
    Będowska-Sójka Barbara, Echaust Krzysztof
    Academic press:
    Emerging Markets Review (rok: 2020, tom: 43, strony: 45308), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.ememar.2020.100695 - link to the publication
  8. Do Liquidity Proxies Based on Daily Prices and Quotes Really Measure Liquidity?
    Authors:
    Będowska-Sójka Barbara, Echaust Krzysztof
    Academic press:
    Entropy (rok: 2020, tom: 22(7), strony: 45312), Wydawca: MDPI
    Status:
    Published
    DOI:
    10.3390/e22070783 - link to the publication
  9. Is there one safe-haven for various turbulences? The evidence from gold, Bitcoin and Ether
    Authors:
    Będowska-Sójka Barbara, Kliber Agata
    Academic press:
    The North American Journal of Economics and Finance (rok: 2021, tom: 56, strony: 45311), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.najef.2021.101390 - link to the publication
  10. The causality between liquidity and volatility in the Polish stock market
    Authors:
    Barbara Będowska-Sójka, Agata Kliber
    Academic press:
    Finance Research Letters (rok: 2019, tom: 30, strony: 110-115), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.frl.2019.04.008 - link to the publication
  11. Commonality in Liquidity Indices: The Emerging European Stock Markets
    Authors:
    Barbara Będowska-Sójka, Krzysztof Echaust
    Academic press:
    Systems (rok: 2019, tom: 7(2), strony: 24), Wydawca: MDPI
    Status:
    Published
    DOI:
    10.3390/systems7020024 - link to the publication
  12. Is Bitcoin still a King? Relationships between prices, volatility and liquidity of cryptocurrencies during the pandemic
    Authors:
    Barbara Będowska-Sójka, Agata Kliber, Aleksandra Rutkowska
    Academic press:
    Entropy (rok: 2021, tom: 23(11), strony: 45308), Wydawca: MDPI
    Status:
    Published
    DOI:
    10.3390/e23111386 - link to the publication
  1. Liquidity on the Capital Market with Asymmetric Information
    Authors:
    Barbara Będowska-Sójka, Przemysław Garsztka
    Conference:
    10th Capital Market Effective Investments Conference, CMEI 2018 (rok: 2018, ), Wydawca: Springer Proceedings in Business and Economics
    Data:
    konferencja 43360
    Status:
    Published
  2. Liquidity of the European Indices: The Developed Versus the Emerging Markets
    Authors:
    Barbara Będowska-Sójka
    Conference:
    Finance and Sustainability Wroclaw University of Economics, ZAFIN (rok: 2020, ), Wydawca: Springer
    Data:
    konferencja 43447
    Status:
    Published
  3. Commonality in liquidity measures – the evidence from the Polish stock market
    Authors:
    Barbara Będowska-Sójka
    Conference:
    International Scientific Conference Hradec Economic Days 2019 (rok: 2019, ), Wydawca: Hradec Kralove University
    Data:
    konferencja 5-6.02.2019
    Status:
    Published
  4. Volatility and Liquidity in Cryptocurrency Markets-The Causality Approach
    Authors:
    Będowska-Sójka Barbara, Hinc Tomasz, Kliber Agata
    Conference:
    WROFIN V Wrocław Conference in Finance (rok: 2020, ), Wydawca: Springer Proceedings in Business and Economics
    Data:
    konferencja 24-25.09.2019
    Status:
    Published

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