Market liquidity as dynamic factors

Hallin, Marc; Mathias, Charles; Pirotte, Hugues; Veredas, David

doi:10.1016/j.jeconom.2010.11.005

Cited by 21 publications

(3 citation statements)

References 27 publications

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“…The reviewed studies have tested and proposed the best performing measures of liquidity under different market systems. Spread and volume-related liquidity measures were used by Hallin et al (2011) and evidenced that both the measures are negatively correlated and give identical information about market liquidity and thus can be used as complementary to the other. In the context of liquidity in developing markets, Marshall et al (2013) found that Gibbs, Amihud, and Amivest measures prove to be effective measures, whereas in an emerging market, Będowska-Sójka and Echaust (2020) found that the Closing Quoted Spread measure based on daily data was the best performing liquidity measure during the periods of extreme liquidity.…”

Section: Measurement Of Stock Market Liquiditymentioning

confidence: 99%

Stock Market Liquidity: A Literature Review

Naik

Reddy

2021

Sage Open

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The purpose of this study is to identify the key aspects that have been studied in the area of stock market liquidity, accumulate their important findings, and also provide a quantitative categorization of reviewed literature that will facilitate in conducting further research. The study analyzes relevant research papers published after the global financial crisis of 2008 and finds that measurement of liquidity, factors influencing liquidity, the relationship between market liquidity and expected return, and market liquidity risk and its relationship with expected returns have been explored in the context of the stock market liquidity. Among these, the factors influencing liquidity have been prominently researched in the reviewed studies. The study concludes that the identified areas can be potentially researched concerning the emerging markets by considering the multidimensional quality of market liquidity. Also, the inter-linkages between the liquidity of emerging markets with that of the global stock markets can be further evaluated.

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Section: Measurement Of Stock Market Liquiditymentioning

confidence: 99%

Stock Market Liquidity: A Literature Review

Naik

Reddy

2021

Sage Open

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“…A panel often decomposes into subpanels or blocks, according, for instance, to geographic criteria. Such features are treated via a (finite-𝑛, large 𝑇 ) hierarchical static factor model by Kose et al (2003) and (large 𝑛 and 𝑇 ) Moench et al (2013), in full generality and a (large 𝑛 and 𝑇 ) GDFM by Hallin andLiška (2011), Hallin et al (2011), and Barigozzi et al (2018b).…”

Section: Identifying the Number Of Factorsmentioning

confidence: 99%

Inferential theory for generalized dynamic factor models

Barigozzi

Hallin

Luciani

et al. 2024

Journal of Econometrics

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“…We find that these impacts Introduction addition to Pastor-Stambaughs' price reversion parameters. Secondly, it provides a representation that allows us to treat commonalities in more flexible manner compared to previous works such as Hasbrouck and Seppi (2001), Korajczyk and Sadka (2008) and Hallin, Mathias, Pirotte, and Veredas (2011).…”

Section: Asymmetric Information and Order Flowsmentioning

confidence: 99%

High-dimensional asset pricing and portfolio optimization

Lönn¹

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Market liquidity as dynamic factors

Cited by 21 publications

References 27 publications

Stock Market Liquidity: A Literature Review

Stock Market Liquidity: A Literature Review

Inferential theory for generalized dynamic factor models

High-dimensional asset pricing and portfolio optimization

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