Measuring Liquidity in Financial Markets

Measuring Liquidity in Financial Markets

This paper provides an overview of indicators that can be used to illustrate and analyze liquidity developments in financial markets. The measures include bid-ask spreads, turnover ratios, and price impact measures. They gauge different aspects of market liquidity, namely tightness (costs), immediac...

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Bibliographische Detailangaben
1. Verfasser: Lybek, Tonny (VerfasserIn)
Format: Elektronisch E-Book
Sprache:English
Veröffentlicht: Washington, D.C International Monetary Fund 2002
Schriftenreihe:IMF Working Papers Working Paper No. 02/232
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Beschreibung
Zusammenfassung:This paper provides an overview of indicators that can be used to illustrate and analyze liquidity developments in financial markets. The measures include bid-ask spreads, turnover ratios, and price impact measures. They gauge different aspects of market liquidity, namely tightness (costs), immediacy, depth, breadth, and resiliency. These measures are applied in selected foreign exchange, money, and capital markets to illustrate their operational usefulness. A number of measures must be considered because there is no single theoretically correct and universally accepted measure to determine a market''s degree of liquidity and because market-specific factors and peculiarities must be considered
Beschreibung:1 Online-Ressource (63 p)
ISBN:1451875576
9781451875577

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