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

49 Pages Posted: 7 Aug 2003  

Avner Kalay

Tel Aviv University - Faculty of Management; University of Utah - David Eccles School of Business

Orly Sade

Hebrew University of Jerusalem - Department of Finance

Avi Wohl

Tel Aviv University - Coller School of Management

Multiple version iconThere are 2 versions of this paper

Date Written: May 2003

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.

Suggested Citation

Kalay, Avner and Sade, Orly and Wohl, Avi, Measuring Stock Illiquidity: An Investigation of the Demand and Supply Schedules at the TASE (May 2003). EFA 2003 Annual Conference Paper No. 231. Available at SSRN: https://ssrn.com/abstract=424930 or http://dx.doi.org/10.2139/ssrn.424930

Avner Kalay (Contact Author)

Tel Aviv University - Faculty of Management ( email )

P.O. Box 39010
Ramat Aviv, Tel Aviv, 69978
Israel
972 3 6406298 (Phone)
972 3 6406330 (Fax)

University of Utah - David Eccles School of Business ( email )

1645 E Campus Center Dr
Salt Lake City, UT 84112-9303
United States
801-581-5457 (Phone)

Orly Sade

Hebrew University of Jerusalem - Department of Finance ( email )

Mount Scopus
Jerusalem, 91905
Israel
972 2 588 3227 (Phone)

Avi Wohl

Tel Aviv University - Coller School of Management ( email )

P.O. Box 39010
Ramat Aviv, Tel Aviv, 69978
Israel
+972 3 6409051 (Phone)

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