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How Liquid are Markets?

Gaelle Le Fol, Julien Idier and Caroline Jardet ()

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Abstract: This paper summarizes the main aspects of market liquidity which is an elusive and multidimensional concept. We consider several liquidity indicators through four categories: immediacy, depth, tightness and resiliency. These classes are then illustrated for four major financial institutions hit by the ongoing financial crisis: AIG, Lehman, BNP and Dexia. We particularly insist on the non substitutability of liquidity indicators since each of them does not account for the same market characteristics.

Keywords: Financial crisis; Liquidity; Financial crisis. (search for similar items in EconPapers)
Date: 2009-11-18
Note: View the original document on HAL open archive server: https://halshs.archives-ouvertes.fr/halshs-00638443
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Published in Bankers Markets & Investors : an academic & professional review, Groupe Banque, 2009, 103, pp.50-58

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:halshs-00638443

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