Measuring commodity market quality

Tobias Lauter and Marcel Prokopczuk ()

Journal of Banking & Finance, 2022, vol. 145, issue C

Abstract: In this paper, we identify the most suitable low-frequency proxies for analyzing commodity market quality. We use an 11-year sample of millisecond time-stamped order book data and examine the correlation of high-frequency liquidity and price efficiency measures with their low-frequency proxies measured with daily or 5-min Time-and-Sales (TAS) data. We find that for liquidity, the volatility-over-volume measures are the best proxies for bid–ask spread and price impact. The correlation of price efficiency measures with their daily-frequency counterparts is low. Moderately correlated proxies can be achieved by using 5-min data.

Keywords: Commodity markets; Market quality; Liquidity; Market efficiency; High-frequency data (search for similar items in EconPapers)
JEL-codes: G14 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jbfina:v:145:y:2022:i:c:s0378426622002382

DOI: 10.1016/j.jbankfin.2022.106658

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