Measuring Liquidity in Financial Markets
International Monetary Fund (IMF)
International Monetary Fund (IMF) - Monetary and Exchange Affairs Department
IMF Working Paper No. 02/232
This paper provides an overview of indicators that can be used to illustrate and analyze liquidity developments in financial markets. The measures include bid-ask spreads, turnover ratios, and price impact measures. They gauge different aspects of market liquidity, namely tightness (costs), immediacy, depth, breadth, and resiliency. These measures are applied in selected foreign exchange, money, and capital markets to illustrate their operational usefulness. A number of measures must be considered because there is no single theoretically correct and universally accepted measure to determine a market`s degree of liquidity and because market-specific factors and peculiarities must be considered.
Number of Pages in PDF File: 64
Keywords: Measuring liquidity financial markets
JEL Classification: G1 G15working papers series
Date posted: February 15, 2006
© 2013 Social Science Electronic Publishing, Inc. All Rights Reserved.
This page was processed by apollo2 in 0.359 seconds