Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/159641
Authors: 
Gabrielsen, Alexandros
Marzo, Massimiliano
Zagaglia, Paolo
Year of Publication: 
2011
Series/Report no.: 
Quaderni - Working Paper DSE 802
Abstract: 
Asset liquidity in modern financial markets is a key but elusive concept. A market is often said to be liquid when the prevailing structure of transactions provides a prompt and secure link between the demand and supply of assets, thus delivering low costs of transaction. Providing a rigorous and empirically relevant definition of market liquidity has, however, provided to be a difficult task. This paper provides a critical review of the frameworks currently available for modelling and estimating the market liquidity of assets. We consider definitions that stress the role of the bid-ask spread and the estimation of its components that arise from alternative sources of market friction. In this case, intra-daily measures of liquidity appear relevant for capturing the core features of a market, and for their ability to describe the arrival of new information to market participants.
JEL: 
G1
G10
G12
Persistent Identifier of the first edition: 
Creative Commons License: 
https://creativecommons.org/licenses/by-nc/3.0/
Document Type: 
Working Paper

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