Market Liquidity and Public Announcements' Disclosure Quality on Tallinn, Riga, and Vilnius Stock Exchanges

Abstract

This paper investigates the association between market liquidity and public announcements' disclosure quality on three emerging markets in the Baltics—the Tallinn, Riga, and Vilnius Stock Exchanges. The results show that disclosure quality, disclosure quantity, and above average disclosure quality level of the current year reduces the spread on the following year, as expected. The increase in disclosure quality level leads to greater volume on the same year; higher disclosure quality leads to lower illiquidity ratio on the following year; increase in disclosure quality, number of announcements, and above average disclosure level leads to higher volatility on the same year; and increase in number of announcements leads to higher combined liquidity measure on the following year, as expected. Still, unlike in previous studies, the spread and illiquidity ratio seem to react more slowly to the disclosure quality/quantity change compared to volume and volatility.

Keywords:

• disclosure quality
• emerging markets
• market liquidity
• public announcements