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EnglishThe liquidity of an asset in modern financial markets is a key and, yet, elusive concept. A market is often said to be liquid when the prevailing structure of transactions provides a prompt and secure link between the demand and supply of assets, thus delivering low costs of transaction. Providing a rigorous and empirically relevant definition of market liquidity has, however, provided to be a difficult task. This paper provides a critical review of the frameworks currently available for modelling and estimating the market liquidity of stocks. We discuss definitions of market liquidity that stress the role of the bid-ask spread and the estimation of its components arising from alternative sources of market friction. In this case, measures of liquidity based on intra-daily data are relevant for capturing the core features of a market, and for their ability to account for the arrival of new information.
| Titolo: | Measuring and Modelling the Market Liquidity of Stocks: Methods and Issues | |
| Autore/i: | Gabrielsen, Alexandros; MARZO, MASSIMILIANO; ZAGAGLIA, PAOLO | |
| Autore/i Unibo: | ||
| Anno: | 2012 | |
| Rivista: | ||
| Abstract: | The liquidity of an asset in modern financial markets is a key and, yet, elusive concept. A market is often said to be liquid when the prevailing structure of transactions provides a prompt and secure link between the demand and supply of assets, thus delivering low costs of transaction. Providing a rigorous and empirically relevant definition of market liquidity has, however, provided to be a difficult task. This paper provides a critical review of the frameworks currently available for modelling and estimating the market liquidity of stocks. We discuss definitions of market liquidity that stress the role of the bid-ask spread and the estimation of its components arising from alternative sources of market friction. In this case, measures of liquidity based on intra-daily data are relevant for capturing the core features of a market, and for their ability to account for the arrival of new information. | |
| Data stato definitivo: | 2015-11-03T17:30:30Z | |
| Appare nelle tipologie: | 1.01 Articolo in rivista |
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