|
|
|
|
||||
|
||||
Detecting Liquidity TradersAvner KalayTel Aviv University - Faculty of Management; University of Utah - David Eccles School of Business Avi WohlTel Aviv University - Faculty of Management June 1, 2007 Journal of Financial and Quantitative Analysis (JFQA), Forthcoming Abstract: We develop a measure (based on the relative slopes of the demand and supply schedules) quantifying the asymmetric presence of liquidity traders in the market: a steeper slope of the demand (supply) schedule indicates a concentration of liquidity traders on the demand (supply) side. Using the opening session of the Tel Aviv Stock Exchange we demonstrate the predictive power of our measure. Consistent with theory, we find that the concentration of liquidity traders on the demand (supply) side is negatively (positively) correlated with future returns. We find that liquidity traders are likely to arrive at the market together (commonality).
Number of Pages in PDF File: 50 Keywords: liquidity traders, liquidity, transparency, return predictability, commonality of liquidity, contagion, elasticity, liquidity JEL Classification: G12, G14 Accepted Paper SeriesDate posted: March 2, 2002 ; Last revised: December 14, 2008Suggested CitationContact Information
|
|
|||||||||||||||||||||||||||||||
© 2013 Social Science Electronic Publishing, Inc. All Rights Reserved.
FAQ
Terms of Use
Privacy Policy
Copyright
This page was processed by apollo7 in 0.343 seconds
