Measuring the multi-faceted dimension of liquidity in financial markets: A literature review

Díaz, Antonio; Escribano, Ana

doi:10.1016/j.ribaf.2019.101079

Cited by 40 publications

(31 citation statements)

References 117 publications

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“…Kumar and Misra (2015) evaluated 95 articles and presented a review of literature on various aspects of stock market liquidity like measurement of liquidity, determinants of liquidity, intraday movements, and liquidity effects on firm value. Recently, Díaz and Escribano (2020) reviewed 177 articles and discussed the dimensional liquidity measures which have been used by researchers over the years in determining the liquidity of equity, bond, and treasury markets.…”

Section: Review Of Literaturementioning

confidence: 99%

Stock Market Liquidity: A Literature Review

Naik

Reddy

2021

SAGE Open

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The purpose of this study is to identify the key aspects that have been studied in the area of stock market liquidity, accumulate their important findings, and also provide a quantitative categorization of reviewed literature that will facilitate in conducting further research. The study analyzes relevant research papers published after the global financial crisis of 2008 and finds that measurement of liquidity, factors influencing liquidity, the relationship between market liquidity and expected return, and market liquidity risk and its relationship with expected returns have been explored in the context of the stock market liquidity. Among these, the factors influencing liquidity have been prominently researched in the reviewed studies. The study concludes that the identified areas can be potentially researched concerning the emerging markets by considering the multidimensional quality of market liquidity. Also, the inter-linkages between the liquidity of emerging markets with that of the global stock markets can be further evaluated.

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Section: Review Of Literaturementioning

confidence: 99%

Stock Market Liquidity: A Literature Review

Naik

Reddy

2021

SAGE Open

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“…Rather, it results from many individual factors that are largely easy to identify and quantify. There is a consensus in the literature that there are various aspects of liquidity that determine its different manifestations, although it is not conclusively defined (Díaz and Escribano 2020). According to Sarr and Lybek (2002) and Bervas (2006), a liquid market has five different dimensions: breadth, depth, immediacy, resilience, and tightness.…”

Section: Illiquidity Measuresmentioning

confidence: 99%

Empirical analysis of the illiquidity premia of German real estate securities

Paul

Walther

Küster-Simic

2021

Financ Mark Portf Manag

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In this study, we analyze illiquidity premia and their effect on the expected returns of German real estate securities. To this end, we use a unique data set that includes real estate stocks, real estate investment trusts (REITs), and open- and closed-end real estate funds for 2003–2017. We follow Amihud’s (JFM 5:31–56, 2002) structural approach; specifically, we estimate Amihud’s illiquidity factors, investigate the relationships between expected returns and illiquidity, and analyze the effects of expected and unexpected market illiquidity on future returns. We show that illiquidity plays an important role in expected returns for real estate stocks and investment trusts (REITs); however, it has less clear effects on open- and closed-end funds. We find that the adjusted ILLIQ includes appropriate correction factors for securities with low trading activity and is a useful improvement. We also find evidence of structural breaks in the relationship between returns and illiquidity.

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“…ere are still some limitations in multimethod integration. Many areas that can be further expanded in this study; for example, sustainable development [15], risk interactions [16], multifaceted dimension [17], and innovation network [18] are also the direction of future research.…”

Section: Discussionmentioning

confidence: 99%

The Price Impact of Order Book Events from a Dimension of Time

Chi

Zhao

Huang

2021

Scientific Programming

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We propose a new linear model to explain the price move by Level-2 high-frequency data in Chinese mainland stock market. In Chinese stock market, the cancellation ratio is very low, and imbalanced order flow prevails most of the time in the trading periods. From time dimension viewpoint, we find the difference of efficiency of limit orders executed, respectively, in bid/ask limit order book, order execution imbalance (OEI), could improve the classic model of Cont et al. (2014) based on market microstructure of Chinese mainland stock market. In particular, when market’s liquidity is booming, our model’s explanatory power and R-squared increased sharply. And the correlations of OEI are very high that may be exploited to predict the price move in the next time window for doing high-frequency trading.

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Measuring the multi-faceted dimension of liquidity in financial markets: A literature review

Cited by 40 publications

References 117 publications

Stock Market Liquidity: A Literature Review

Stock Market Liquidity: A Literature Review

Empirical analysis of the illiquidity premia of German real estate securities

The Price Impact of Order Book Events from a Dimension of Time

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