How should liquidity be measured?

Aitken, Michael; Comerton‐Forde, Carole

doi:10.1016/s0927-538x(02)00093-8

Cited by 105 publications

(65 citation statements)

References 11 publications

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“…Liquidity is examined using three proxies: bid ask spread, depth at the best bid and ask price and the Aitken and Comerton-Forde (2003) weighted order book measure.…”

Section: Methodsmentioning

confidence: 99%

“…Unlike previous published literature, which only considers the volume of orders at the best bid and ask price, our data allows us to examine all orders entered into the market. Using a liquidity proxy developed by Aitken and Comerton-Forde (2003) we analyse the change in overall depth of the market and the probability of execution. This allows us to identify the overall impact of the change in tick size on market liquidity.…”

Section: Introductionmentioning

confidence: 99%

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Do reductions in tick sizes influence liquidity?

Aitken

Comerton‐Forde

2005

Accounting & Finance

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On 4 December 1995, the Australian Stock Exchange reduced the minimum tick size for stocks priced below $A0.50 and stocks priced above $A10. We use this natural experiment to examine the impact of tick size reductions on liquidity. The present paper reports that although lower tick sizes generally lead to increased liquidity, this result is not universal. Stocks with larger relative tick sizes experience the greatest improvement in liquidity, while stocks with small relative tick sizes and low trading volume experience reduced liquidity. There is no change in order exposure as a result of the reduced tick sizes. Copyright 2005 Accounting and Finance Association of Australia and New Zealand..

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“…Liquidity is examined using three proxies: bid ask spread, depth at the best bid and ask price and the Aitken and Comerton-Forde (2003) weighted order book measure.…”

Section: Methodsmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

Do reductions in tick sizes influence liquidity?

Aitken

Comerton‐Forde

2005

Accounting & Finance

Self Cite

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“…We employ several liquidity measures, including volume measures, turnover, quoted depth and spreads, effective spread, realized spread, and price impact. We construct a variety of liquidity measures because recent research argues that trade-based measures are uncorrelated with orderdriven measures (Aitken and Comerton-Forbe, 2003). For our purposes this is especially important as it seems that trade-based measures should be more correlated with the trading behavior of shareholders, while order-driven measures should be more correlated with the adverse selection costs embedded in the ownership structure.…”

Section: Introductionmentioning

confidence: 99%

Ownership level, ownership concentration and liquidity

Rubin

2007

Journal of Financial Markets

238

160

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“…Aitken and Comerton-Forde (2003) contend that this is particularly important for the emerging stock markets, where company founders typically hold large portions of stocks that are not freely traded.…”

Section: Discussionmentioning

confidence: 99%

Investment Performance of Individual Investors: Evidence from the Korean Stock Market

Park

Kim

2014

Emerging Markets Finance and Trade

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We use unique equity holdings data for each type of investor to investigate the relationship between individual investors' shareholdings and variables such as corporate characteristics and stock returns in the Korean stock market. We find that stocks with the highest individual holdings underperform stocks with the lowest individual holdings. This return difference is attributable to individual investors' uninformed stock-picking skills resulting from lack of attention given to or misinterpretation of readily accessible firm fundamentals. The results also indicate that characteristics of stocks preferred by individual investors are associated with small capitalization, low stock price, low profitability, and high turnover.

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How should liquidity be measured?

Cited by 105 publications

References 11 publications

Do reductions in tick sizes influence liquidity?

Do reductions in tick sizes influence liquidity?

Ownership level, ownership concentration and liquidity

Investment Performance of Individual Investors: Evidence from the Korean Stock Market

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