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How liquid are markets: an Application to Stock Markets

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Date
2009
Dewey
Economie financière
Sujet
Stock markets
JEL code
G1
Journal issue
Bankers, Markets & Investors
Number
103
Publication date
11-2009
Article pages
50-58
Publisher
Revue Banque
URI
https://basepub.dauphine.fr/handle/123456789/5530
Collections
  • DRM : Publications
Metadata
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Author
Le Fol, Gaëlle
Jardet, Caroline
Idier, Julien
Type
Article accepté pour publication ou publié
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.

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