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http://hdl.handle.net/2445/196883Full metadata record
| DC Field | Value | Language |
|---|---|---|
| dc.contributor.author | Chuliá Soler, Helena | - |
| dc.contributor.author | Mosquera-López, Stephania | - |
| dc.contributor.author | Uribe Gil, Jorge Mario | - |
| dc.date.accessioned | 2023-04-17T10:41:54Z | - |
| dc.date.issued | 2023-05-01 | - |
| dc.identifier.issn | 1057-5219 | - |
| dc.identifier.uri | http://hdl.handle.net/2445/196883 | - |
| dc.description.abstract | 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. | - |
| dc.format.mimetype | application/pdf | - |
| dc.language.iso | eng | - |
| dc.publisher | Elsevier | - |
| dc.relation.isformatof | Versió postprint del document publicat a: https://doi.org/10.1016/j.irfa.2023.102532 | - |
| dc.relation.ispartof | International Review of Financial Analysis, 2023, vol. 87, num. 102532 | - |
| dc.relation.uri | https://doi.org/10.1016/j.irfa.2023.102532 | - |
| dc.rights | cc-by-nc-nd (c) Elsevier, 2023 | - |
| dc.rights.uri | https://creativecommons.org/licenses/by-nc-nd/4.0/ | - |
| dc.source | Articles publicats en revistes (Econometria, Estadística i Economia Aplicada) | - |
| dc.subject.classification | Liquiditat (Economia) | - |
| dc.subject.classification | Programació no lineal | - |
| dc.subject.classification | Empirisme | - |
| dc.subject.other | Liquidity (Economics) | - |
| dc.subject.other | Nonlinear programming | - |
| dc.subject.other | Empiricism | - |
| dc.title | Nonlinear market liquidity: An empirical examination | - |
| dc.type | info:eu-repo/semantics/article | - |
| dc.type | info:eu-repo/semantics/acceptedVersion | - |
| dc.identifier.idgrec | 733244 | - |
| dc.date.updated | 2023-04-17T10:41:54Z | - |
| dc.rights.accessRights | info:eu-repo/semantics/embargoedAccess | - |
| dc.embargo.lift | 2025-05-01 | - |
| dc.date.embargoEndDate | info:eu-repo/date/embargoEnd/2025-05-01 | - |
| Appears in Collections: | Articles publicats en revistes (Econometria, Estadística i Economia Aplicada) | |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| 733244.pdf | 2.17 MB | Adobe PDF | View/Open Request a copy |
Document embargat fins el
1-5-2025
This item is licensed under a
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