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HOW DO YOU CAPTURE LIQUIDITY? A REVIEW OF THE LITERATURE ON LOW‐FREQUENCY STOCK LIQUIDITY
Journal of Economic Surveys ( IF 4.142 ) Pub Date : 2020-07-13 , DOI: 10.1111/joes.12385
Huong Le 1 , Andros Gregoriou 1
Affiliation  

Researchers have various ways to measure liquidity but most of them come with both merits and demerits. This study provides a literature review of low‐frequency liquidity measures with a primary focus on liquidity measurement as well as its implication on asset pricing. Based on the dimension it captures, a range of existing low‐frequency measures are divided into four categories of liquidity proxies including transaction cost, volume, price impact, and multidimension‐based measures. We review some well‐established liquidity proxies, a new bid–ask spread estimator and price impact ratios proposed recently. Finally, we discuss how good low‐frequency liquidity measures are at capturing standard liquidity benchmarks, which are constructed from high‐frequency intraday data.

中文翻译:

您如何捕获流动性?低频流动性文献综述

研究人员有多种方法来衡量流动性,但大多数方法都有其优点和缺点。本研究提供了有关低频流动性度量的文献综述,主要侧重于流动性度量及其对资产定价的影响。根据它捕获的维度,一系列现有的低频指标被划分为四类流动性代理,包括交易成本,交易量,价格影响以及基于多维的指标。我们回顾了一些行之有效的流动性代理,新的买卖差价估算器和最近提出的价格影响率。最后,我们讨论了如何利用高频日内数据构建良好的低频流动性指标来获取标准流动性基准。
更新日期:2020-07-13
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