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How liquid are markets: an Application to Stock Markets

Le Fol, Gaëlle; Jardet, Caroline; Idier, Julien (2009), How liquid are markets: an Application to Stock Markets, Bankers, Markets & Investors, 103, p. 50-58

Type
Article accepté pour publication ou publié
Date
2009
Journal name
Bankers, Markets & Investors
Number
103
Publisher
Revue Banque
Pages
50-58
Metadata
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Author(s)
Le Fol, Gaëlle
Jardet, Caroline
Idier, Julien
Abstract (EN)
The article discusses financial market liquidity and its applications to the stock market. It says market liquidity has a time attribute in which investors needs the shortest possible trade time to prevent price reversal risk, has volume in which there must be enough bids to satisfy the needs of investors, and has price, in which assets should have a fair value. Moreover, market liquidity measures have several indicators including immediacy, depth, and tightness.
Subjects / Keywords
Stock markets
JEL
G1 - General Financial Markets