Nonlinear market liquidity: an empirical examination

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dc.contributor.authorChuliá, Helena
dc.contributor.authorMosquera López, Stephanía
dc.contributor.authorUribe Gil, Jorge Mario
dc.date.accessioned2025-07-29T06:11:20Z
dc.date.available2025-07-29T06:11:20Z
dc.date.issued2023-01-10
dc.date.updated2025-07-29T06:11:20Z
dc.description.abstractWe offer novel indicators of market-wide liquidity. Previous literature uses averages of individual liquidity indicators to track the evolution of market-wide liquidity. Instead, we focus on the tails of the market liquidity distribution. First, we construct aggregate liquidity indicators using low and high quantiles of six liquidity measures (total volume, number of trades, effective spread, realized spread, price impact and lambda). Our results show that market conditions have an asymmetric impact on the tails of the liquidity distribution. In the second part of the study, we test for nonlinearity of the effects of market determinants on market liquidity.en
dc.description.sponsorshipThis work was supported by the Spanish Ministry of Science and Innovation under Grant [PID2019-105986GB-C21]en
dc.identifier.citationChuliá, H., Mosquera-López, S., & Uribe, J. M. (2023). Nonlinear market liquidity: an empirical examination. International Review of Financial Analysis, 87. https://doi.org/10.1016/J.IRFA.2023.102532
dc.identifier.doi10.1016/J.IRFA.2023.102532
dc.identifier.issn1057-5219
dc.identifier.urihttps://hdl.handle.net/20.500.14454/3293
dc.language.isoeng
dc.publisherElsevier Inc.
dc.rights© 2023 The Authors
dc.subject.otherLiquidity indicators
dc.subject.otherNonlinear effects
dc.subject.otherQuantile regressions
dc.subject.otherLiquidity crisis
dc.titleNonlinear market liquidity: an empirical examinationen
dc.typejournal article
dcterms.accessRightsopen access
oaire.citation.titleInternational Review of Financial Analysis
oaire.citation.volume87
oaire.licenseConditionhttps://creativecommons.org/licenses/by/4.0/
oaire.versionVoR
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