Measuring and explaining the asymmetry of liquidity
Rajat Tayal () and
Susan Thomas ()
Additional contact information
Rajat Tayal: Indira Gandhi Institute of Development Research
Indira Gandhi Institute of Development Research, Mumbai Working Papers from Indira Gandhi Institute of Development Research, Mumbai, India
This paper examines transactions costs in buying versus selling using a large database of snapshots of the limit order book. On the equity spot market, there is clear evidence of asymmetry in liquidity: transactions costs are lower for buy market orders when compared with sell market orders. In the identical setting, trading in single stock futures is also observed, and there is little evidence of asymmetry. This suggests that asymmetry in liquidity may be driven by short sales restrictions which are present on the spot market but not on the single stock futures market.
New Economics Papers: this item is included in nep-mst
References: View references in EconPapers View complete reference list from CitEc
Citations View citations in EconPapers (1) Track citations by RSS feed
Downloads: (external link)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: http://EconPapers.repec.org/RePEc:ind:igiwpp:2012-011
Access Statistics for this paper
More papers in Indira Gandhi Institute of Development Research, Mumbai Working Papers from Indira Gandhi Institute of Development Research, Mumbai, India Contact information at EDIRC.
Series data maintained by Shamprasad M. Pujar ().