 Measuring the multi-faceted dimension of liquidity in financial markets: A literature reviewAntonio Díaz and Ana Escribano Research in International Business and Finance, 2020, vol. 51, issue C Abstract: This paper provides a thorough review of the liquidity measures that are used in the empirical literature to measure liquidity. A wide range of papers have emphasized its role and the need to manage and understand this topic, which had hitherto not been deeply explored. Literature on liquidity proposes a wide set of liquidity measures and proxies intended to measure the different characteristics and dimensions that liquidity presents. Early papers analyzing the liquidity issue were based on quotation data or on end-of-month prices, given that databases with widely complete transaction information were not available. The recent availability of high frequency databases has allowed researchers not only to develop new measures but also to adapt to other markets a comprehensive set of existing measures. In this paper, we classify and describe the variety of the existing liquidity measures and proxies depending on the aspect of liquidity that one wants to address. Keywords: Liquidity dimensions; Liquidity measures; Liquidity proxies; Literature review (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:51:y:2020:i:c:s0275531918311024 DOI: 10.1016/j.ribaf.2019.101079 Access Statistics for this article Research in International Business and Finance is currently edited by T. Lagoarde Segot More articles in Research in International Business and Finance from Elsevier |
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