欢迎来到天天文库
浏览记录
ID:44280700
大小:295.47 KB
页数:5页
时间:2019-10-20
《金融市场研究》由会员上传分享,免费在线阅读,更多相关内容在工程资料-天天文库。
1、1IntroductionMarketliquidityistheasset'sabilityofbeingsoldwithouttoomuchlossofassetsinareasonableprice,itisakindofrelationshipbetweentimescaleoftheinvestment(thedegreeofdifficultyofassetchangingintocash)andpricescales(thefairnesscomparedwiththemarketprice).Italsoreferstot
2、hestatethatthereisawiderangeofmarketparticipantswithsmalloffergapbetweenbuyersandsellers,beingconvenientfortransaction.MarketLiquidityisameasureofthemarketwhetherthestateisgoodornot(Datar2000).Marketliquidityisusuallyreferredtoliquidity.Therearefouraspectstoevaluatethemar
3、ketliquidity:(1)Tradingtime:theabilityofexecutingthetransactionatprevailingpriceinrealtime.Thewaitingtimebetweensubsequenttradesortheinverse,thenumberoftradespertimeunitaremeasuresfortradingtime.(2)Tightness:theabilitytobuyorselltheassetataroundthesamepriceandthesametime.
4、Itshowstheclearestwaythatthecostrelatedwithtransactingofimmediacy.(3)Depth:theabilitytobuyorsellacertainamountofassetwithoutchangeonthequotedprice.Asignofilliquidityisanadversemarketimpactfortheinvestorwhentrading.Marketdepthcanbemeasuredbytheaskandsellbidprice.(4)Resilie
5、ncy:theabilitytobuyorsellacertainamountofanassetwithlittlechangeonthequotedprice.2MeasurementsAstheliquidityisnotobservable,thus,itneedstobeevaluatedbydifferenttypeofliquiditymeasures.Arangeofliquiditymeasuresleadtoreliableresultsandthenevaluatingtheliquidityofthefinancia
6、lmarket.Theliquiditymeasuresaredividedintothreegroups:thevolumetraded,thetimebetweensubsequenttradesorthespread(Rico2004).(1)TurnoverOnesimplemeasureofmarketliquidityistomeasurethroughfrequencyoftrading.Morefi^equenttradingwouldcertainlymeanimprovedliquiditybutwithsuchani
7、ndicatoritisnotpossibletomeasureextentofliquidityamongfrequentlytradedshares-TurnoverhastobecalculatedforaspecifictimeintervaLAnexampleofturnoverinuseisthearticlebyBobbyLienandAndrewZurawski,"LiquidityintheAustralianTreasuryBondFuturesMarket".TheturnoverintheTreasurybondf
8、uturesmarketisaveragedfourtimesthatoftheASXSPI200futuresmarketinthepastfiveyears,whichisconsiste
此文档下载收益归作者所有