Research on Intraday Liquidity in Securities Market: Synthetic Measurement,Characteristics and information content
Liquidity is a conception of multiple attributes including volume,price and duration,but existing measurements of liquidity only describes part of the three attributes. Taking the trading duration,trading volume and price volatility into account,this paper firstly introduces a new approach of measuring intraday liquidity by taking the volume absorbed per volatility in one second as proxy. Secondly,we study the intraday pattern of liquidity using this approach. And put forward Logarithmic Autoregression Conditional Liquidity (LACL) model to search for the best model to fit and forecast the intraday liquidity and further analyze the characteristics of liquidity. Our empirical study on Pudong Development Bank shows a same significant intraday pattern as traditional one,and finds that WLACL model in which error term follows Weibull distribution is the best model to fit and forecast intraday liquidity,buy-initiated liquidity and sell-initiated liquidity. We also find that the liquidity process is a mean- reverting process. The impact of a given liquidity on future expected liquidity will die out in Weibull form. Finally,we get liquidity distribution at different time by kernel smoothing technology. Taking the change of liquidity distribution,which is measured by relative entropy as proxy of information content of market absorbed by trading,we find the information content of market absorbed is the largest in 10:30-11:30 a.m.
Liquidity UFH-GARCH model LACL model information content microstructure of financial market
曹迎春 刘善存 邱菀华
北京航空航天大学经济管理学院,北京 100083
国际会议
成都
英文
2007-07-09（万方平台首次上网日期，不代表论文的发表时间）