RT Generic
T1 BLM: bidimensional approach to measure liquidity
A1 Pascual, Roberto
A1 Escribano, Álvaro
A1 Tapia, Mikel
A2 Universidad Carlos III de Madrid. Departamento de Economía de la Empresa, 
AB In a continuous trading market, taking efficiency as given, VarIatIOns in liquidity can bemeasured by simultaneous changes in both immediacy costs and depth. Past theoretical andempirical microstructure literature has been, however, one-dimensional. This paper introducesa liquidity measure called BLM, specially designed for time-series analyses, that capturessimultaneous changes in both liquidity dimensions and provides a simple solution to deal withthose situations in which the change in immediacy costs and depth does not lead to anunambiguous shift in liquidity. Using data from the NYSE, it is evidenced that this measurecaptures short-term liquidity dynamics that cannot be captured by one-dimensional proxies ofliquidity. This measure is applied to the study of how liquidity reacts to changes in the marketconditions. It is shown that only volatility shifts have an unambiguous effect on liquidityindependently of the trading hour.
YR 2000
FD 2000-07
LK https://hdl.handle.net/10016/9958
UL https://hdl.handle.net/10016/9958
LA eng
DS e-Archivo
RD 27 jul. 2024