Download or read book The Empirical Analysis of Liquidity written by Craig W. Holden and published by . This book was released on 2017 with total page 102 pages. Available in PDF, EPUB and Kindle. Book excerpt: We provide a synthesis of ...
Download or read book The Empirical Analysis of Liquidity written by Craig Holden and published by Now Publishers. This book was released on 2014-11-28 with total page 90 pages. Available in PDF, EPUB and Kindle. Book excerpt: We provide a synthesis of the empirical evidence on market liquidity. The liquidity measurement literature has established standard measures of liquidity that apply to broad categories of market microstructure data. Specialized measures of liquidity have been developed to deal with data limitations in specific markets, to provide proxies from daily data, and to assess institutional trading programs. The general liquidity literature has established local cross-sectional patterns, global cross-sectional patterns, and time-series patterns.
Download or read book Market Liquidity written by Thierry Foucault and published by Oxford University Press. This book was released on 2023 with total page 531 pages. Available in PDF, EPUB and Kindle. Book excerpt: "The process by which securities are traded is very different from the idealized picture of a frictionless and self-equilibrating market offered by the typical finance textbook. This book offers a more accurate and authoritative take on this process. The book starts from the assumption that not everyone is present at all times simultaneously on the market, and that participants have quite diverse information about the security's fundamentals. As a result, the order flow is a complex mix of information and noise, and a consensus price only emerges gradually over time as the trading process evolves and the participants interpret the actions of other traders. Thus, a security's actual transaction price may deviate from its fundamental value, as it would be assessed by a fully informed set of investors. The book takes these deviations seriously, and explains why and how they emerge in the trading process and are eventually eliminated. The authors draw on a vast body of theoretical insights and empirical findings on security price formation that have come to form a well-defined field within financial economics known as "market microstructure." Focusing on liquidity and price discovery, the book analyzes the tension between the two, pointing out that when price-relevant information reaches the market through trading pressure rather than through a public announcement, liquidity may suffer. It also confronts many striking phenomena in securities markets and uses the analytical tools and empirical methods of market microstructure to understand them. These include issues such as why liquidity changes over time and differs across securities, why large trades move prices up or down, and why these price changes are subsequently reversed, and why we observe temporary deviations from asset fair values"--
Download or read book Market Liquidity written by Christoph G. Rösch and published by . This book was released on 2012 with total page 198 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Money and Off balance sheet Liquidity written by Reuven Glick and published by . This book was released on 1988 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Liquidity Constraints and Investments written by Feikeh Sung and published by . This book was released on 1993 with total page 174 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book An Empirical Analysis of the Demand for International Liquidity written by Dallas S. Batten and published by . This book was released on 1981* with total page 47 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book An Empirical Analysis of Bond Liquidity written by Stefan Fiesel and published by . This book was released on 2018 with total page 137 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book An Empirical Analysis of Institutional Liquidity Trading written by Tyler Jon Brough and published by . This book was released on 2010 with total page 348 pages. Available in PDF, EPUB and Kindle. Book excerpt: I investigate the trading decisions of a large institutional liquidity trader by using a detailed data set from a transition management firm. The data set contains records for all trades of transitions completed between January 2008 and September 2008. Effective execution involves a trade off between trading patiently over time to minimize price impact costs and trading quickly to avoid opportunity costs due to price volatility. I estimate a model of transition duration that accounts for volatility, an order's percentage of average daily volume, and the bid--ask spread to uncover the firm's strategy of how quicklyto trade. To understand the firm's intermediate trading decisions, I estimate a vector autoregression that summarizes the dynamic relationship of volatility, trading volume, the bid--ask spread, and order type and order duration. My analysis suggests that the firm behaves strategically to minimize the total costs of trading.
Download or read book An Empirical Analysis of Liquidity and Its Determinants in the German Intraday Market for Electricity written by Simon Hagemann and published by . This book was released on 2014 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper presents a theoretical and empirical analysis of liquidity in the German intraday market for electricity. Two models that aim at explaining intraday liquidity are developed. The first model considers the fundamental merit-order and intraday adjustment needs as the drivers of liquidity in a perfectly competitive market. The second model relaxes the assumption of perfect competition in the intraday market and assumes that the trading behavior of profit maximizing market participants influences the liquidity provision. The relevance of commonly used liquidity indicators like the bid ask-spread, resiliency, market depth, price variance, delay and search costs as well as trading volume and the number of trades are analyzed with respect to both models of liquidity. The empirical findings indicate that liquidity in the German intraday market can be explained by the trading model while the purely fundamental model is rejected.
Download or read book An Empirical Analysis of Stock and Bond Market Liquidity written by and published by . This book was released on 2003 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: "This paper explores liquidity movements in stock and Treasury bond markets over a period of more than 1800 trading days. Cross-market dynamics in liquidity are documented by estimating a vector autoregressive model for liquidity (that is, bid-ask spreads and depth), returns, volatility, and order flow in the stock and bond markets. We find that a shock to quoted spreads in one market affects the spreads in both markets, and that return volatility is an important driver of liquidity. Innovations to stock and bond market liquidity and volatility prove to be significantly correlated, suggesting that common factors drive liquidity and volatility in both markets. Monetary expansion increases equity market liquidity during periods of financial crises, and unexpected increases (decreases) in the federal funds rate lead to decreases (increases) in liquidity and increases (decreases) in stock and bond volatility. Finally, we find that flows to the stock and government bond sectors play an important role in forecasting stock and bond liquidity. The results establish a link between "macro" liquidity, or money flows, and "micro" or transactions liquidity"--Federal Reserve Bank of New York web site.
Download or read book An Empirical Analysis of the Relation between Option Market Liquidity and Stock Market Activity written by Iskra Kalodera and published by . This book was released on 2004 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt: We empirically investigate the relation between daily activity in the underlying stock and option liquidity for firms included in the German DAX index and with options traded on the electronic exchange EUREX. By means of regression analyses we identify the major determinants of transaction-based and order-based option liquidity. We find that the transaction volume of the underlying stock is indeed a major determinant of transaction-based liquidity in the options market, whereas contrary to standard intuition, return volatility does not consistently exhibit a significant impact. On the other hand short-term measures of uncertainty, represented by the positive and negative parts of stock returns and their lagged values, are important explanatory factors. Order-based liquidity seems to be harder to model than transaction-based liquidity. The negative return part is a common factor influencing both spread and depth variables, while volatility overall significantly increases option market depth. As an important contribution to the empirical literature on option market liquidity, we provide separate regressions for buyer and seller initiated transactions. It becomes clear that especially the relation between stock returns and transaction-based liquidity is asymmetric with respect to option purchases and sales. Call purchases increase with positive returns and decrease on days with negative returns, while put purchases behave exactly the opposite way. However, both call and put sales increase on days with large positive or negative returns.
Download or read book The Information Content of Market Liquidity written by Johannes A. Skjeltorp and published by . This book was released on 2010 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Empirical Analysis on the Co movement of the Liquidity of S P 500 Component Stocks S P 500 Index Options and VIX Options written by 賴威志 and published by . This book was released on 2011 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Stock Exchange Listings and Market Liquidity written by Gary Christopher Sanger and published by . This book was released on 1983 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Measuring Liquidity in Financial Markets written by Abdourahmane Sarr and published by International Monetary Fund. This book was released on 2002-12 with total page 72 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper provides an overview of indicators that can be used to illustrate and analyze liquidity developments in financial markets. The measures include bid-ask spreads, turnover ratios, and price impact measures. They gauge different aspects of market liquidity, namely tightness (costs), immediacy, depth, breadth, and resiliency. These measures are applied in selected foreign exchange, money, and capital markets to illustrate their operational usefulness. A number of measures must be considered because there is no single theoretically correct and universally accepted measure to determine a market's degree of liquidity and because market-specific factors and peculiarities must be considered.
Download or read book An Empirical Analysis of Stock and Bond Market Liquidity written by Tarun Chordia and published by . This book was released on 2006 with total page 61 pages. Available in PDF, EPUB and Kindle. Book excerpt: We study the joint time-series of daily liquidity in government bond and stock markets over the period 1991 to 1998. Innovations in liquidity are positively and significantly correlated across stock and bond markets. Further, order imbalances in the stock market impact bond and stock liquidity, even after controlling for order imbalances in the bond market. Both results suggest the existence of a common liquidity factor in stock and bond markets. We consider monetary conditions and mutual fund flows as sources of order flow and as primitive determinants of liquidity. Monetary expansion enhances stock market liquidity during crises. U.S. government bond funds see higher inflows and equity funds see higher outflows during financial crises, and these flows are associated with decreased liquidity in stock and bond markets. Our results establish a link between quot;macroquot; liquidity, or money flows, and quot;microquot; or transactions liquidity.
