Commodity Liquidity Measurement and Transaction Costs
By Ben R. Marshall, N. Nguyen, Nuttawat Visaltanachoti. 2012
203 citations recorded by the source corpus.
We examine the performance of liquidity proxies in commodities. The Amihud measure has the largest correlation with liquidity benchmarks. Amivest and Effective Tick measures also perform well. These proxies are useful for studies of commodity liquidity over a long time period and those that lack access to high-frequency data. We use various aspects of transaction costs, such as spread, depth, immediacy, and resiliency, to give insight into the costs of different execution approaches. Transaction costs increase with volatility and exhibit mean reversion. Splitting trades over one hour can reduce trading costs by two-thirds compared to an immediate execution. The Author 2011. Published by Oxford University Press on behalf of The Society for Financial Studies. All rights reserved. For Permissions, please e-mail: journals.permissions@oup.com., Oxford University Press.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/8a8adb61c32b24c50cd4c4887c157844d94cfd2f
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Citations in the corpus
- What Are the Best Liquidity Proxies for Global Research (2017, methodology): “For example, Marshall, Nguyen, and Visaltanachoti (2012) are able to compute FHT in commodity markets using only commodity prices.”
- An Anatomy of Commodity Futures Risk Premia (2014, unknown): “Following Campbell and Shiller (1988), the last term on the right hand side, n (rf + u)− ny (n) t , can be approximated using a first-order Taylor series expansion ln (1− exp (ct+n − st − n (rf + u))) ≈ ln (1− exp (cn − s− n (rf + u))) + exp (cn − s− n (rf + u)) 1− exp (cn − s− n (rf + u)) (ct+n − s”
- Understanding FX Liquidity (2015, unknown): “Several studies compare lowfrequency and high-frequency liquidity measures for stocks (Hasbrouck 2009; Goyenko, Holden, and Trzcinka 2009; Holden 2009; Fong, Holden, and Trzcinka 2011) and commodities (Marshall, Nguyen, and Visaltanachoti 2012).”