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...

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Detalles Bibliográficos
Autores: Chuliá Soler, Helena, Mosquera-López, Stephania, Uribe Gil, Jorge Mario
Tipo de recurso: artículo
Estado:Versión aceptada para publicación
Fecha de publicación:2023
País:España
Institución:Universidad de Barcelona
Repositorio:Dipòsit Digital de la UB
OAI Identifier:oai:diposit.ub.edu:2445/196883
Acceso en línea:https://hdl.handle.net/2445/196883
Access Level:acceso abierto
Palabra clave:Liquiditat (Economia)
Programació no lineal
Empirisme
Liquidity (Economics)
Nonlinear programming
Empiricism
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spelling Nonlinear market liquidity: An empirical examinationChuliá Soler, HelenaMosquera-López, StephaniaUribe Gil, Jorge MarioLiquiditat (Economia)Programació no linealEmpirismeLiquidity (Economics)Nonlinear programmingEmpiricismWe 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.Elsevier2023info:eu-repo/semantics/articleinfo:eu-repo/semantics/acceptedVersionapplication/pdfhttps://hdl.handle.net/2445/196883Articles publicats en revistes (Econometria, Estadística i Economia Aplicada)reponame:Dipòsit Digital de la UBinstname:Universidad de BarcelonaInglésVersió postprint del document publicat a: https://doi.org/10.1016/j.irfa.2023.102532International Review of Financial Analysis, 2023, vol. 87, num. 102532https://doi.org/10.1016/j.irfa.2023.102532cc-by-nc-nd (c) Elsevier, 2023https://creativecommons.org/licenses/by-nc-nd/4.0/info:eu-repo/semantics/openAccessoai:diposit.ub.edu:2445/1968832026-05-27T06:46:51Z
dc.title.none.fl_str_mv Nonlinear market liquidity: An empirical examination
title Nonlinear market liquidity: An empirical examination
spellingShingle Nonlinear market liquidity: An empirical examination
Chuliá Soler, Helena
Liquiditat (Economia)
Programació no lineal
Empirisme
Liquidity (Economics)
Nonlinear programming
Empiricism
title_short 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_sort Nonlinear market liquidity: An empirical examination
dc.creator.none.fl_str_mv Chuliá Soler, Helena
Mosquera-López, Stephania
Uribe Gil, Jorge Mario
author Chuliá Soler, Helena
author_facet Chuliá Soler, Helena
Mosquera-López, Stephania
Uribe Gil, Jorge Mario
author_role author
author2 Mosquera-López, Stephania
Uribe Gil, Jorge Mario
author2_role author
author
dc.subject.none.fl_str_mv Liquiditat (Economia)
Programació no lineal
Empirisme
Liquidity (Economics)
Nonlinear programming
Empiricism
topic Liquiditat (Economia)
Programació no lineal
Empirisme
Liquidity (Economics)
Nonlinear programming
Empiricism
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.
publishDate 2023
dc.date.none.fl_str_mv 2023
dc.type.none.fl_str_mv info:eu-repo/semantics/article
info:eu-repo/semantics/acceptedVersion
format article
status_str acceptedVersion
dc.identifier.none.fl_str_mv https://hdl.handle.net/2445/196883
url https://hdl.handle.net/2445/196883
dc.language.none.fl_str_mv Inglés
language_invalid_str_mv Inglés
dc.relation.none.fl_str_mv Versió postprint del document publicat a: https://doi.org/10.1016/j.irfa.2023.102532
International Review of Financial Analysis, 2023, vol. 87, num. 102532
https://doi.org/10.1016/j.irfa.2023.102532
dc.rights.none.fl_str_mv cc-by-nc-nd (c) Elsevier, 2023
https://creativecommons.org/licenses/by-nc-nd/4.0/
info:eu-repo/semantics/openAccess
rights_invalid_str_mv cc-by-nc-nd (c) Elsevier, 2023
https://creativecommons.org/licenses/by-nc-nd/4.0/
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Elsevier
publisher.none.fl_str_mv Elsevier
dc.source.none.fl_str_mv Articles publicats en revistes (Econometria, Estadística i Economia Aplicada)
reponame:Dipòsit Digital de la UB
instname:Universidad de Barcelona
instname_str Universidad de Barcelona
reponame_str Dipòsit Digital de la UB
collection Dipòsit Digital de la UB
repository.name.fl_str_mv
repository.mail.fl_str_mv
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score 15,300719

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