Nonlinear market liquidity: An empirical examination
We offer novel indicators of market-wide liquidity. Previous literature uses averages of individual liquidity indicators to track the evolution of market-wide liquidity. Instead, we focus on the tails of the market liquidity distribution. First, we construct aggregate liquidity indicators using low...
| Authors: | ; ; |
|---|---|
| Format: | Article |
| Status: | Accepted version |
| Publication date: | 2023 |
| Country: | España |
| Institution: | Universidad de Barcelona |
| Repository: | Dipòsit Digital de la UB |
| OAI Identifier: | oai:diposit.ub.edu:2445/196883 |
| Online Access: | https://hdl.handle.net/2445/196883 |
| Access Level: | Open access |
| Keyword: | Liquiditat (Economia) Programació no lineal Empirisme Liquidity (Economics) Nonlinear programming Empiricism |
| _version_ | 1878741747842940928 |
|---|---|
| author | Chuliá Soler, Helena |
| author2 | Mosquera-López, Stephania Uribe Gil, Jorge Mario |
| author2_role | author author |
| author_browse | Chuliá Soler, Helena Mosquera-López, Stephania Uribe Gil, Jorge Mario |
| author_facet | Chuliá Soler, Helena Mosquera-López, Stephania Uribe Gil, Jorge Mario |
| author_role | author |
| collection | Dipòsit Digital de la UB |
| description | We offer novel indicators of market-wide liquidity. Previous literature uses averages of individual liquidity indicators to track the evolution of market-wide liquidity. Instead, we focus on the tails of the market liquidity distribution. First, we construct aggregate liquidity indicators using low and high quantiles of six liquidity measures (total volume, number of trades, effective spread, realized spread, price impact and lambda). Our results show that market conditions have an asymmetric impact on the tails of the liquidity distribution. In the second part of the study, we test for nonlinearity of the effects of market determinants on market liquidity. |
| eu_rights_str_mv | openAccess |
| format | article |
| id | ES_eab2ffdf0db4eade8ba746d2d18fb191 |
| institution | Universidad de Barcelona |
| instname_str | Universidad de Barcelona |
| network_acronym_str | ES |
| network_name_str | España |
| oai_identifier_str | oai:diposit.ub.edu:2445/196883 |
| publishDate | 2023 |
| publishDateSort | 2023 |
| publisher | Elsevier |
| publisherStr | Elsevier |
| reponame_str | Dipòsit Digital de la UB |
| spelling | Nonlinear market liquidity: An empirical examination Chuliá Soler, Helena Mosquera-López, Stephania Uribe Gil, Jorge Mario Liquiditat (Economia) Programació no lineal Empirisme Liquidity (Economics) Nonlinear programming Empiricism We offer novel indicators of market-wide liquidity. Previous literature uses averages of individual liquidity indicators to track the evolution of market-wide liquidity. Instead, we focus on the tails of the market liquidity distribution. First, we construct aggregate liquidity indicators using low and high quantiles of six liquidity measures (total volume, number of trades, effective spread, realized spread, price impact and lambda). Our results show that market conditions have an asymmetric impact on the tails of the liquidity distribution. In the second part of the study, we test for nonlinearity of the effects of market determinants on market liquidity. Elsevier https://hdl.handle.net/2445/196883 |
| spellingShingle | Nonlinear market liquidity: An empirical examination Chuliá Soler, Helena Liquiditat (Economia) Programació no lineal Empirisme Liquidity (Economics) Nonlinear programming Empiricism |
| status_str | acceptedVersion |
| title | Nonlinear market liquidity: An empirical examination |
| title_full | Nonlinear market liquidity: An empirical examination |
| title_fullStr | Nonlinear market liquidity: An empirical examination |
| title_full_unstemmed | Nonlinear market liquidity: An empirical examination |
| title_short | Nonlinear market liquidity: An empirical examination |
| title_sort | Nonlinear market liquidity: An empirical examination |
| topic | Liquiditat (Economia) Programació no lineal Empirisme Liquidity (Economics) Nonlinear programming Empiricism |
| topic_facet | Liquiditat (Economia) Programació no lineal Empirisme Liquidity (Economics) Nonlinear programming Empiricism |
| url | https://hdl.handle.net/2445/196883 |