EconPapers    
Economics at your fingertips  
 

What is the best proxy for liquidity in the presence of extreme illiquidity?

Barbara Będowska-Sójka and Krzysztof Echaust

Emerging Markets Review, 2020, vol. 43, issue C

Abstract: This 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.

Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3) Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1566014119302080
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:ememar:v:43:y:2020:i:c:s1566014119302080

DOI: 10.1016/j.ememar.2020.100695

Access Statistics for this article

Emerging Markets Review is currently edited by Jonathan A. Batten

More articles in Emerging Markets Review from Elsevier
Bibliographic data for series maintained by Catherine Liu ().

 
Page updated 2021-10-19
Handle: RePEc:eee:ememar:v:43:y:2020:i:c:s1566014119302080