Jumps and Liquidity in the U.S. Stock Market

International Monetary Fund, October 2018

2 Pages Posted: 24 Apr 2021

See all articles by Rohit Goel

Rohit Goel

International Monetary Fund (IMF)

Sheheryar Malik

International Monetary Fund (IMF)

Date Written: October 1, 2018

Abstract

We use a new framework to analyze the liquidity trends in the US equity markets, based on the intra-day price trend. The analysis suggests that the proportion of daily price variation explained by jumps (either small or large) is at a historical low. Furthermore while small jumps (which are generally liquidity related) are less common, but they increase significantly during the stress events. Overall, these findings suggest that liquidity has not materially deteriorated in the U.S. equity market.

Keywords: market liquidity, S&P 500, US Equities, jumps, spectral analysis

JEL Classification: C22, C14, C55, G01, G14

Suggested Citation

Goel, Rohit and Malik, Sheheryar, Jumps and Liquidity in the U.S. Stock Market (October 1, 2018). International Monetary Fund, October 2018, Available at SSRN: https://ssrn.com/abstract=3826653

Rohit Goel (Contact Author)

International Monetary Fund (IMF) ( email )

700 19th Street, N.W.
Washington, DC 20431
United States

Sheheryar Malik

International Monetary Fund (IMF) ( email )

700 19th Street, N.W.
Washington, DC 20431
United States

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