Liquidity measurement: A comparative review of the literature with a focus on high frequency

Zeynep Cobandag Guloglu, Cumhur Ekinci*

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

2 Citations (Scopus)

Abstract

This paper provides an exhaustive review and categorization of market liquidity measures that are used to quantify liquidity in empirical research. We review and discuss these measures in a comparative manner in terms of market, data features, computational ease, predictiveness, and potentiality. With a primary focus on high-frequency liquidity measurement, we highlight their advantages, limitations, and extensions. We conclude that high-frequency measures concentrate around bid–ask spread and limit order book, the latter offering a richer ground for analysis. Moreover, considering the recent developments in the industry such as market fragmentation, abundance of data, and improved technology, the practicality of these measures are challenged.

Original languageEnglish
Pages (from-to)41-74
Number of pages34
JournalJournal of Economic Surveys
Volume36
Issue number1
DOIs
Publication statusPublished - Feb 2022

Bibliographical note

Publisher Copyright:
© 2021 John Wiley & Sons Ltd.

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