کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5096691 | 1376543 | 2011 | 9 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Market liquidity as dynamic factors
دانلود مقاله + سفارش ترجمه
دانلود مقاله ISI انگلیسی
رایگان برای ایرانیان
کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: Market liquidity as dynamic factors Market liquidity as dynamic factors](/preview/png/5096691.png)
چکیده انگلیسی
We use recent results on the Generalized Dynamic Factor Model (GDFM) with block structure to provide a data-driven definition of unobservable market liquidity and to assess the complementarity of two observed liquidity measures: daily close relative spreads and daily traded volumes for a sample of 426 S&P500 constituents recorded over the years 2004-2006. The advantage of defining market liquidity as a dynamic factor is that, contrary to other definitions, it tackles time dependence and commonness at the same time, without making any restrictive assumptions. Both relative spread and volume in the dataset under study appear to be driven by the same one-dimensional common shocks, which therefore naturally qualify as the unobservable market liquidity shocks.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Econometrics - Volume 163, Issue 1, July 2011, Pages 42-50
Journal: Journal of Econometrics - Volume 163, Issue 1, July 2011, Pages 42-50
نویسندگان
Marc Hallin, Charles Mathias, Hugues Pirotte, David Veredas,