We offer novel indicators of market-wide liquidity. Previous literature uses averages of individual liquidity indicators to track the evolution of market-wide liquidity. Instead, we focus on the tails of the market liquidity distribution. First, we construct aggregate liquidity indicators using low and high quantiles of six liquidity measures (total volume, number of trades, effective spread, realized spread, price impact and lambda). Our results show that market conditions have an asymmetric impact on the tails of the liquidity distribution. In the second part of the study, we test for nonlinearity of the effects of market determinants on market liquidity.

我们提供新的市场流动性指标。以前的文献使用单个流动性指标的平均值来跟踪整个市场流动性的演变。相反，我们关注市场流动性分布的尾部。首先，我们使用六种流动性指标（总量、交易数量、有效利差、已实现利差、价格影响和 lambda）的低分位数和高分位数构建总体流动性指标。我们的结果表明，市场条件对流动性分布的尾部有不对称的影响。在研究的第二部分，我们测试了市场决定因素对市场流动性影响的非线性。