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

Zeynep Cobandag Guloglu, Cumhur Ekinci*

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2 Atıf (Scopus)

Özet

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.

Orijinal dilİngilizce
Sayfa (başlangıç-bitiş)41-74
Sayfa sayısı34
DergiJournal of Economic Surveys
Hacim36
Basın numarası1
DOI'lar
Yayın durumuYayınlandı - Şub 2022

Bibliyografik not

Publisher Copyright:
© 2021 John Wiley & Sons Ltd.

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