Do Measures of Liquidity Measure Liquidity?

Goyenko, Ruslan; Holden, Craig W.; Trzcinka, Charles

doi:10.2139/ssrn.1108553

Cited by 322 publications

(379 citation statements)

References 61 publications

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“…As (3) shows, ILLIQ iyd is computed by dividing the absolute return |R iyd | of stock i on day d of year y by its traded volume in Euros TV iyd . 4 This measure is well established in the literature and both Hasbrouck (2009) and Goyenko et al (2009) document its adequacy as a proxy for price impact.…”

Section: Internet Search Activity and Stock Liquiditymentioning

confidence: 99%

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Google search volume and its influence on liquidity and returns of German stocks

Bank

Larch

Peter

2011

Financ Mark Portf Manag

260

144

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Section: Internet Search Activity and Stock Liquiditymentioning

confidence: 99%

“…It is introduced by Goyenko et al (2009) and can be interpreted as the average spread per traded volume. It is based on the Roll (1984) model, which provides an alternative estimation of bid-ask spreads.…”

Section: Robustness: Alternative Illiquidity Measuresmentioning

confidence: 99%

Google search volume and its influence on liquidity and returns of German stocks

Bank

Larch

Peter

2011

Financ Mark Portf Manag

260

144

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“…For practical purposes, liquidity 14 Cp. Datar et al (1998);Liu (2006); Bekaert et al (2007); Goyenko et al (2008) and others.…”

Section: Important Aspects Of Market Liquiditymentioning

confidence: 99%

Market Liquidity Risk - An Overview

Stange

Kaserer

2009

SSRN Journal

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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Market liquidity is the ease of trading an asset. Its risk is the potential loss, because a security can only be traded at high or prohibitive costs. While the omnipresence and importance of market liquidity is widely acknowledged, it has long remained a more or less elusive concept. Treatment of liquidity risk is still under development. Terms of use: Documents in EconStor mayThis paper provides an overview on important aspects of market liquidity and its risk. We also survey existing models to integrate market liquidity risk into risk frameworks. We place special emphasis on practical usability and discuss relevant strengths, weaknesses and their implications.

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“…Relative spread: The relative spread is calculated by dividing the dollar spread with the average daily trading price. Goyenko et al (2009) sample various proxies for liquidity based on daily data and compare them with those calculated from the TAQ database. They find that Holden's dollar spread and price impact proxies are the best monthly liquidity measures.…”

Section: Liquidity Measuresmentioning

confidence: 99%