Measuring Market Liquidity

Topics:
Decision Analysis
Tags:
Finance,
Investment,
Liquidity
Source:
Social Science Electronic Publishing

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Overview: From the executive summary: ‘Recent research has suggested that aggregate market liquidity varies over time and that the covariance of returns with innovations in market liquidity is priced. However, liquidity has multiple dimensions, which incorporate key elements of volume, time, and transaction costs. An ideal measure of market-wide liquidity should therefore incorporate elements of depth, breadth, and resiliency. The paper estimates measures of market-wide liquidity along each of these dimensions and finds that each measure’s innovations are correlated.’

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Format: PDF | Size: 538KB | Date: Oct 2003 | Pages: 67

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