Measuring Liquidity in Financial Markets

By Tonny Lybek, Abdourahmane Sarr. Social Science Research Network, 2002

281 citations recorded by the source corpus.

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.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/d1d31af0fa618a519210f0e337ef770e1f1eb404

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In Economics and Econometrics

1. J. Beirne
2. Simone Manganelli
3. James W. Taylor
4. Maria Pacurar
5. Giampiero M. Gallo
6. Robert F. Engle

In Finance

1. J. Beirne
2. Jens Tapking
3. Simone Manganelli
4. James W. Taylor
5. Maria Pacurar
6. Giampiero M. Gallo
7. Robert F. Engle
8. Ornella Ricci

Citations in the corpus

• The Impact of the Eurosystem's Covered Bond Purchase Programme on the Primary and Secondary Markets (2011, methodology): “In terms of quantitatively measuring the impact of the CBPP on liquidity in the covered bond market, the market effi ciency coeffi cient (MEC) approach is applied (see Sarr and Lybek (2002) for further details).”