Assessment of Stock Market Liquidity and Efficiency: Evidence from an Emerging Country

IF 0.9 Q3 ECONOMICS

Organizations and Markets in Emerging Economies Pub Date : 2023-05-29 DOI:10.15388/omee.2023.14.80

Reema Monga, Deepti Aggrawal, Jagvinder Singh

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Abstract

The study examines the market efficiency, multi-dimensions of liquidity, and their interconnectedness for the Emerging Indian Stock Market. In contrast to the extant literature, the current study involves testing the market liquidity considering multi-dimensions such as depth, breadth, immediacy, tightness, and resiliency. Second, the study used a battery of tests to determine efficiency, including the Ljung and Box, runs test, Bartel test, Variance ratio, and BDS tests. Furthermore, using five quintiles classified by market depth, the linkage of market efficiency and liquidity is also being investigated. The findings show that during the pandemic, the Indian stock market has been proven to be efficient, suggesting that there are no abnormal returns. Moreover, the research demonstrates that during the COVID-19 pandemic, large volumes of securities are traded quickly and at a lower price effect, but with higher trading costs for completing a market transaction. However, it is worth noting that increased liquidity equates to greater efficiency, while lower liquidity equates to inefficiency.

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股票市场流动性和效率评估:来自一个新兴国家的证据

该研究考察了新兴印度股票市场的市场效率、流动性的多维度及其相互关联性。与现有文献相比，当前的研究涉及考虑深度，广度，即时性，紧性和弹性等多维度的市场流动性测试。其次，该研究使用了一系列测试来确定效率，包括Ljung和Box、运行测试、Bartel测试、方差比和BDS测试。此外，利用市场深度分类的五个五分位数，还研究了市场效率与流动性的联系。研究结果表明，在疫情期间，印度股市已被证明是有效的，这表明没有异常回报。此外，研究表明，在COVID-19大流行期间，大量证券快速交易，价格效应较低，但完成市场交易的交易成本较高。然而，值得注意的是，流动性增加等同于效率提高，而流动性降低等同于效率低下。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Organizations and Markets in Emerging Economies ECONOMICS-

CiteScore

1.60

自引率

0.00%

发文量

审稿时长

20 weeks

期刊介绍： The journal aims to contribute to the development and dissemination of multidisciplinary knowledge on organizations and markets in emerging economies, to increase dialogue among scholars focused on a specific emerging economy or region and to encourage and give an outlet to high quality scholarship, both local and international, to this subject. Organizations and Markets in Emerging Economies welcomes analysis of emerging economies from the perspectives of organizational sciences, marketing, economics, finance and related disciplines. The journal appreciates studies that highlight specificities and patterns that occur in emerging economies and develop new empirical and theoretical knowledge on the subject.