| Abstract [eng] |
Topic Relevance. Liquidity in the scientific literature remains a crucial object of empirical research. One of the reasons is that the liquid stock market assumes that shares are liquid. The higher the level of liquidity, the more it is valued by investors, as stocks can be sold quickly without incurring excessive transaction costs. In many financial markets, liquidity is important not only for investors but also for policy makers as it helps to reduce the risk of investment losses. Liquidity can be defined as the degree to which shares can be bought or sold. Stock and stock market liquidity are essential for financial stability and growth, especially in the case of unforeseen events such as the financial crisis. As the economy slows, the liquidity level of small company stocks declines. However, this is not the only reason, as the level of liquidity is changing over time, and as a result of turbulent market conditions and drastically rising trading costs, the level of liquidity may decline or even disappear. Examining the scientific literature, it has been observed that most of the conducted research focuses on emerging markets without paying much attention to small markets. The object of the research is the relationship between the liquidity of the cyclical and non-cyclical sectors of the Baltic market and macroeconomic and industry-level factors. The aim of the study is to analyse the theoretical aspects of the relationship between stock liquidity and macroeconomic and industrial factors and to determine the strength of the interaction between macroeconomic factors, industry level factors and stock liquidity in the cyclical and non-cyclical sectors of the Baltic market. The first part provides an overview of the study of the links between stock liquidity and its determinants. Most studies focused on developed stock markets have found a relationship between stock market liquidity and macroeconomic factors. However, the studies do not cover the relationship between the liquidity of cyclical and non-cyclical sectors stocks in the Baltic States and the identification of macroeconomic and industry-level factors. The second part of the project reviews the main stock liquidity measuring tools, which are also used to determine the liquidity dimensions of the stock market as a whole. The main macroeconomic and industrial factors that may affect the liquidity level of equities in different sectors have also been identified. Macroeconomic factors include GDP, unemployment, inflation, government debt, the level of private consumption and the level of imports and exports of goods and services. Identified industry-level factors include industrial concentration, industrial growth rate, industrial capital intensity, and industrial research and development intensity. In the third part of the project, an empirical research methodology was developed to determine whether there is a relationship between macroeconomic factors, industry-level factors and stock liquidity. The fourth part of the study assesses the liquidity level of the cyclical and non-cyclical sectors of the Baltic market, which in years 2005-2021 changed unevenly. Most of the results of the liquidity level of stock in different sectors depended directly on the number of companies operating in that sector and the economic situation in the country. Assessing the level of liquidity using different tools confirmed the view in the literature that different tools for assessing liquidity provide different results. The most liquid are the shares of the financial services sector, which level of liquidity is extremely sensitive to fluctuations in the economy. Shares of companies operating in the food, beverage and tobacco sectors are the least liquid. Correlation analysis also showed that different measures of stock liquidity and macroeconomic and industry-level factors correlate. Also, there is statistically significant evidence that depending on the sector in which firms operate there is a stronger and weaker relationship between macroeconomic, industry-level factors and stock liquidity. A statistically significant but relatively weak relationship was found between liquidity and industry-level factors in the stocks of the main materials and financial services sectors. A moderately strong statistically significant relationship was also found between macroeconomic factors and the liquidity of equities in the financial services sector. In addition, a statistically significant but weak relationship was found between liquidity in other cyclical and non-cyclical sectors and macroeconomic factors. Finally, it was concluded that a statistically significant relationship between the cyclical and non-cyclical sectors stock liquidity and macroeconomic and industry-level factors may exist. However, further studies of the relationship are needed, in particular on stock liquidity of financial services, industrial sectors and industry-level factors. |
