Measuring Stock Illiquidity: An Investigation of the Demand and Supply Schedules at the Tase

Abstract

We show that estimating the demand and supply elasticity at the opening stage at the Tel Aviv Stock Exchange is highly sensitive to which of the reasonable measures is used. We compare the estimated elasticity of excess demand at the opening to the elasticity measured during the continuous trading. Though the elasticity of excess demand increases throughout the day, we find the largest elasticity at the opening. We document a demand schedule that is more elastic than the supply schedule. Our measure of price impact in call auctions is larger for buys than for sells and its reversal is smaller.