Nonlinear market liquidity: An empirical examination

Vista senzilla d'ítem
dc.contributor.authorChuliá Soler, Helena
dc.contributor.authorMosquera-López, Stephania
dc.contributor.authorUribe Gil, Jorge Mario
dc.date.accessioned2023-04-17T10:41:54Z
dc.date.available2025-05-01T05:10:07Z
dc.date.issued2023-05-01
dc.date.updated2023-04-17T10:41:54Z
dc.description.abstractWe 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.mimetypeapplication/pdf
dc.identifier.idgrec733244
dc.identifier.issn1057-5219
dc.identifier.urihttps://hdl.handle.net/2445/196883
dc.language.isoeng
dc.publisherElsevier
dc.relation.isformatofVersió postprint del document publicat a: https://doi.org/10.1016/j.irfa.2023.102532
dc.relation.ispartofInternational Review of Financial Analysis, 2023, vol. 87, num. 102532
dc.relation.urihttps://doi.org/10.1016/j.irfa.2023.102532
dc.rightscc-by-nc-nd (c) Elsevier, 2023
dc.rights.accessRightsinfo:eu-repo/semantics/openAccess
dc.rights.urihttps://creativecommons.org/licenses/by-nc-nd/4.0/
dc.sourceArticles publicats en revistes (Econometria, Estadística i Economia Aplicada)
dc.subject.classificationLiquiditat (Economia)
dc.subject.classificationProgramació no lineal
dc.subject.classificationEmpirisme
dc.subject.otherLiquidity (Economics)
dc.subject.otherNonlinear programming
dc.subject.otherEmpiricism
dc.titleNonlinear market liquidity: An empirical examination
dc.typeinfo:eu-repo/semantics/article
dc.typeinfo:eu-repo/semantics/acceptedVersion

Fitxers

Paquet original

Mostrant 1 - 1 de 1
Miniatura
Nom:
733244.pdf
Mida:
2.12 MB
Format:
Adobe Portable Document Format
Descarregar

Col·leccions

Articles publicats en revistes (Econometria, Estadística i Economia Aplicada)