Turnover Based Illiquidity Measurement as Investment Strategy on Zagreb Stock Exchange

• 作者: Jelena Vidovi?
• 来源期刊: 美国运筹学期刊(英文)
• 学科: 经济
• 关键词: ILLIQUIDITY Measure INVESTMENT PORTFOLIO STOCK TURNOVER
• 年，卷（期）: 2020,（1）
• 页码范围: 1-12
• 页数: 12页
• 分类号: F22

摘要

This paper deals with illiquidity measurement of stocks on Croatian Stock market. Illiquidity measures used in this paper are daily ratio of absolute stock return to its dollar volume (ILLIQ) and RCT (Relative change in turnover). Aim of this paper is to show that illiquidity measure RCT makes clear distinction between liquid and illiquid stocks that should be reflected through investment strategy where investment in RCT based illiquid portfolios outperforms investment in ILLIQ based portfolios and CROBEX index. Research was carried out on eighteen stocks from Zagreb Stock Exchange (ZSE) which are constituents of CROBEX index. Portfolios of liquid and portfolios of illiquid stocks based on results of illiquidity measurement were constructed. Behaviour in terms of return and volatility of these portfolios in following one-year period was observed. Results showed that portfolios formed using RCT as measure of illiquidity constantly outperformed CROBEX index and ILLIQ based portfolios. Returns of RCT based portfolios had lower standard deviation and were more stable than ILLIQ based portfolios in whole period. RCT as a measure of illiquidity produces valuable information on stock liquidity that can be exploited as investment strategy reflecting itself in larger expected returns of RCT portfolios in future period than expected returns of ILLIQ based portfolios and market.