What is the best proxy for liquidity in the presence of extreme illiquidity?
Barbara Będowska-Sójka , Krzysztof Echaust
AbstractThis paper aims to indicate the best daily proxy for unobserved liquidity in the presence of extreme movements on the market. We apply copulas to investigate the dependence between benchmarks based on intraday prices and proxies based on daily data. We focus on the tail dependence between both types of measures. Our results show that when the market experiences extreme illiquidity, the Closing Quoted Spread (CQS) based on daily closing bid and ask prices is superior to other percent-cost low-frequency proxies. We find the highest tail dependence coefficients for CQS and either the Percent Effective Spread or the Percent Quoted Spread.
|Journal series||Emerging Markets Review, ISSN 1566-0141, e-ISSN 1873-6173, (N/A 100 pkt)|
|Publication size in sheets||0.8|
|Keywords in English||liquidity, market, illiquidity|
|Score||= 100.0, 24-07-2020, ArticleFromJournal|
|Publication indicators||= 0; : 2018 = 1.3; : 2017 = 1.871 (2) - 2017=2.621 (5)|
|Citation count*||1 (2020-09-12)|
* presented citation count is obtained through Internet information analysis and it is close to the number calculated by the Publish or Perish system.